WTMF vs. SGOV
WTMF (WisdomTree Managed Futures Strategy Fund) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 5 years, WTMF returned 6.12%/yr vs 3.58%/yr for SGOV. At a 0.02 correlation, their price movements are largely independent. WTMF charges 0.65%/yr vs 0.09%/yr for SGOV.
Performance
WTMF vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 7.35% return, which is significantly higher than SGOV's 1.71% return.
WTMF
- 1D
- -1.56%
- 1M
- -0.67%
- YTD
- 7.35%
- 6M
- 6.60%
- 1Y
- 20.66%
- 3Y*
- 9.95%
- 5Y*
- 6.12%
- 10Y*
- 3.17%
SGOV
- 1D
- 0.01%
- 1M
- 0.28%
- YTD
- 1.71%
- 6M
- 1.80%
- 1Y
- 3.92%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
WTMF vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 7.35% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 5.63% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.71% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between WTMF and SGOV is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.02 |
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Return for Risk
WTMF vs. SGOV — Risk / Return Rank
WTMF
SGOV
WTMF vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and iShares 0-3 Month Treasury Bond ETF (SGOV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| WTMF | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.03 | ||
| Sortino ratioReturn per unit of downside risk | -270.47 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 194.05 | -192.61 |
| Calmar ratioReturn relative to maximum drawdown | 5.14 | 395.07 | -389.93 |
| Martin ratioReturn relative to average drawdown | 21.97 | 4,426.92 | -4,404.95 |
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Drawdowns
WTMF vs. SGOV - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for WTMF and SGOV.
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Drawdown Indicators
| WTMF | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -0.03% | -30.76% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -0.01% | -4.03% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -0.01% | -9.92% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -0.03% | -13.18% |
Max Drawdown (10Y)Largest decline over 10 years | -15.26% | — | — |
Current DrawdownCurrent decline from peak | -1.56% | 0.00% | -1.56% |
Average DrawdownAverage peak-to-trough decline | -17.65% | -0.00% | -17.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 0.00% | +0.94% |
Volatility
WTMF vs. SGOV - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 3.11% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.11% | 0.06% | +3.05% |
Volatility (6M)Calculated over the trailing 6-month period | 7.30% | 0.13% | +7.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.04% | 0.19% | +8.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 0.24% | +9.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.11% | 0.24% | +7.87% |
WTMF vs. SGOV - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
WTMF vs. SGOV - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.83%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.83% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% |
Frequently Asked Questions
WTMF and SGOV have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WTMF has higher volatility (3.11%) compared to SGOV (0.06%). In terms of maximum drawdown, WTMF dropped -30.79% vs SGOV's -0.03%.
On 5-year performance, WTMF leads with 6.12% vs 3.58% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, WTMF has performed better with a 6.12% return vs 3.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.65% for WTMF.
SGOV has the higher dividend yield at 3.85%, compared with 2.83% for WTMF.
WTMF is categorized as Hedge Fund, while SGOV is Ultrashort Bond. WTMF tracks WisdomTree Managed Futures Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: WisdomTree and iShares. Their fees differ too: 0.65% for WTMF and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.32 vs 2.30), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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