WTMF vs. SOFR

Last updated Aug 4, 2026

WTMF (WisdomTree Managed Futures Strategy Fund) and SOFR (Amplify Samsung SOFR ETF) are both exchange-traded funds - WTMF is a Systematic Trend fund tracking the WisdomTree Managed Futures Index, while SOFR is a Multisector Bonds fund tracking the Secured Overnight Financing Rate. Both are passively managed. Over the past year, WTMF returned 18.92% vs 3.79% for SOFR. Their -0.04 correlation means they have often moved in opposite directions in the past. WTMF charges 0.65%/yr vs 0.20%/yr for SOFR.

Performance

WTMF vs. SOFR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Managed Futures Strategy Fund (WTMF) and Amplify Samsung SOFR ETF (SOFR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, WTMF achieves a 8.23% return, which is significantly higher than SOFR's 2.07% return.

WTMF

• 1D: 0.12%
• 1M: 1.08%
• 6M: 6.55%
• YTD: 8.23%
• 1Y: 18.92%
• 3Y*: 9.63%
• 5Y*: 6.22%
• 10Y*: 3.46%
• ALL TIME*: 1.16%

SOFR

• 1D: 0.01%
• 1M: 0.25%
• 6M: 1.79%
• YTD: 2.07%
• 1Y: 3.79%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 4.10%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
SOFR Amplify Samsung SOFR ETF	$600.52K	$493.55K	$2.28M
WTMF WisdomTree Managed Futures Strategy Fund	$964.56K	$1.15M	$1.10M

WTMF vs. SOFR - Yearly Performance Comparison

	2026 (YTD)	2025	2024
WTMF WisdomTree Managed Futures Strategy Fund	8.23%	12.17%	1.92%
SOFR Amplify Samsung SOFR ETF	2.07%	4.27%	1.21%

Correlation

The correlation between WTMF and SOFR is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.11
Correlation (All Time) Calculated using the full available price history since Sep 26, 2024	-0.04

Return for Risk

WTMF vs. SOFR — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

WTMF

WTMF Risk / Return Rank: 89
WTMF Sharpe Ratio Rank: 86
WTMF Sortino Ratio Rank: 84
WTMF Omega Ratio Rank: 88
WTMF Calmar Ratio Rank: 93
WTMF Martin Ratio Rank: 94

SOFR

SOFR Risk / Return Rank: 98
SOFR Sharpe Ratio Rank: 98
SOFR Sortino Ratio Rank: 98
SOFR Omega Ratio Rank: 99
SOFR Calmar Ratio Rank: 98
SOFR Martin Ratio Rank: 98

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

WTMF vs. SOFR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Amplify Samsung SOFR ETF (SOFR). 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	SOFR	Difference
Sharpe ratio: Return per unit of total volatility	2.10	4.27	-2.17
Sortino ratio: Return per unit of downside risk	2.86	6.26	-3.40
Omega ratio: Gain probability vs. loss probability	1.40	2.97	-1.57
Calmar ratio: Return relative to maximum drawdown	4.71	9.36	-4.66
Martin ratio: Return relative to average drawdown	18.11	37.52	-19.41

WTMF vs. SOFR - Sharpe Ratio Comparison

The current WTMF Sharpe Ratio is 2.10, which is lower than the SOFR Sharpe Ratio of 4.27. The chart below compares the historical Sharpe Ratios of WTMF and SOFR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

WTMF vs. SOFR - Drawdown Comparison

The maximum WTMF drawdown since its inception was -30.79%, which is greater than SOFR's maximum drawdown of -0.41%. Use the drawdown chart below to compare losses from any high point for WTMF and SOFR.

Drawdown Indicators

	WTMF	SOFR	Difference
Max Drawdown Largest peak-to-trough decline	-30.79%	-0.41%	-30.38%
Max Drawdown (1Y) Largest decline over 1 year	-4.04%	-0.41%	-3.63%
Max Drawdown (3Y) Largest decline over 3 years	-9.93%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-13.21%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-14.83%	—	—
Current Drawdown Current decline from peak	-0.75%	-0.03%	-0.72%
Average Drawdown Average peak-to-trough decline	-17.53%	-0.03%	-17.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	0.10%	+0.95%

Volatility

WTMF vs. SOFR - Volatility Comparison

WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 2.17% compared to Amplify Samsung SOFR ETF (SOFR) at 0.27%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than SOFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WTMF	SOFR	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.17%	0.27%	+1.90%
Volatility (6M) Calculated over the trailing 6-month period	6.59%	0.64%	+5.95%
Volatility (1Y) Calculated over the trailing 1-year period	9.09%	0.89%	+8.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.37%	0.84%	+8.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.13%	0.84%	+7.29%

WTMF vs. SOFR - Expense Ratio Comparison

WTMF has a 0.65% expense ratio, which is higher than SOFR's 0.20% expense ratio.

Dividends

WTMF vs. SOFR - Dividend Comparison

WTMF's dividend yield for the trailing twelve months is around 2.81%, less than SOFR's 3.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
SOFR Amplify Samsung SOFR ETF	3.83%	4.22%	1.60%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
WTMF WisdomTree Managed Futures Strategy Fund	2.81%	3.04%	3.57%	4.74%	5.29%	14.71%	0.47%	1.63%	3.59%

Frequently Asked Questions

Can I hold both WTMF and SOFR in my portfolio?

WTMF and SOFR have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WTMF or SOFR?

WTMF has higher volatility (2.17%) compared to SOFR (0.27%). In terms of maximum drawdown, WTMF dropped -30.79% vs SOFR's -0.41%.

Which ETF is better, WTMF or SOFR?

On 1-year performance, WTMF leads with 18.92% vs 3.79% for SOFR. On fees, SOFR is cheaper at 0.20% per year. On volatility, SOFR has been the lower-risk option at 0.27%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, WTMF or SOFR?

Over the 1-year period, WTMF has performed better with a 18.92% return vs 3.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, WTMF or SOFR?

SOFR is cheaper with a 0.20% expense ratio, compared with 0.65% for WTMF.

Which ETF pays a higher dividend yield, WTMF or SOFR?

SOFR has the higher dividend yield at 3.83%, compared with 2.81% for WTMF.

What is the main difference between WTMF and SOFR?

WTMF is categorized as Systematic Trend, while SOFR is Multisector Bonds. WTMF tracks WisdomTree Managed Futures Index, while SOFR tracks Secured Overnight Financing Rate. They also come from different issuers: WisdomTree and Amplify. Their fees differ too: 0.65% for WTMF and 0.20% for SOFR.

Which has better risk-adjusted returns?

SOFR currently has the higher Sharpe Ratio (4.27 vs 2.10), 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.