WTMF vs. USFR
WTMF (WisdomTree Managed Futures Strategy Fund) and USFR (WisdomTree Floating Rate Treasury Fund) are both exchange-traded funds - WTMF is a Hedge Fund fund tracking the WisdomTree Managed Futures Index, while USFR is a Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index. Both are passively managed. Over the past 10 years, WTMF returned 3.26%/yr vs 2.47%/yr for USFR. At a correlation of -0.01, they often move in opposite directions. WTMF charges 0.65%/yr vs 0.15%/yr for USFR.
Performance
WTMF vs. USFR - Performance Comparison
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Returns By Period
In the year-to-date period, WTMF achieves a 8.50% return, which is significantly higher than USFR's 1.60% return. Over the past 10 years, WTMF has outperformed USFR with an annualized return of 3.26%, while USFR has yielded a comparatively lower 2.47% annualized return.
WTMF
- 1D
- -0.02%
- 1M
- 1.05%
- YTD
- 8.50%
- 6M
- 8.44%
- 1Y
- 22.55%
- 3Y*
- 9.77%
- 5Y*
- 6.17%
- 10Y*
- 3.26%
USFR
- 1D
- 0.02%
- 1M
- 0.29%
- YTD
- 1.60%
- 6M
- 1.98%
- 1Y
- 4.03%
- 3Y*
- 4.76%
- 5Y*
- 3.66%
- 10Y*
- 2.47%
WTMF vs. USFR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 8.50% | 12.17% | 3.20% | 16.72% | -6.52% | 9.48% | 0.48% | -2.75% | 0.24% | -3.40% |
USFR WisdomTree Floating Rate Treasury Fund | 1.60% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 2.02% | 2.01% | 1.03% |
Correlation
The correlation between WTMF and USFR is -0.05, 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 | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.02 |
Correlation (All Time) Calculated using the full available price history since Feb 5, 2014 | -0.01 |
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Return for Risk
WTMF vs. USFR — Risk / Return Rank
WTMF
USFR
WTMF vs. USFR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and WisdomTree Floating Rate Treasury Fund (USFR). 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.
| WTMF | USFR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -12.49 | ||
| Sortino ratioReturn per unit of downside risk | -47.04 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 13.43 | -11.92 |
| Calmar ratioReturn relative to maximum drawdown | 5.61 | 203.42 | -197.81 |
| Martin ratioReturn relative to average drawdown | 25.08 | 787.84 | -762.76 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| WTMF | USFR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.62 | 15.11 | -12.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 9.26 | -8.60 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.41 | 3.07 | -2.67 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.15 | 1.60 | -1.45 |
Drawdowns
WTMF vs. USFR - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.79%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for WTMF and USFR.
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Drawdown Indicators
| WTMF | USFR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.79% | -1.36% | -29.43% |
Max Drawdown (1Y)Largest decline over 1 year | -4.04% | -0.02% | -4.02% |
Max Drawdown (3Y)Largest decline over 3 years | -9.93% | -0.06% | -9.87% |
Max Drawdown (5Y)Largest decline over 5 years | -13.21% | -0.18% | -13.03% |
Max Drawdown (10Y)Largest decline over 10 years | -15.99% | -0.80% | -15.19% |
Current DrawdownCurrent decline from peak | -0.13% | 0.00% | -0.13% |
Average DrawdownAverage peak-to-trough decline | -17.71% | -0.16% | -17.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.90% | 0.01% | +0.89% |
Volatility
WTMF vs. USFR - Volatility Comparison
WisdomTree Managed Futures Strategy Fund (WTMF) has a higher volatility of 1.61% compared to WisdomTree Floating Rate Treasury Fund (USFR) at 0.06%. This indicates that WTMF's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WTMF | USFR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.61% | 0.06% | +1.55% |
Volatility (6M)Calculated over the trailing 6-month period | 6.84% | 0.18% | +6.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.63% | 0.27% | +8.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.46% | 0.40% | +9.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.07% | 0.81% | +7.26% |
WTMF vs. USFR - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than USFR's 0.15% expense ratio.
Dividends
WTMF vs. USFR - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 2.80%, less than USFR's 3.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
USFR WisdomTree Floating Rate Treasury Fund | 3.91% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% |
WTMF WisdomTree Managed Futures Strategy Fund | 2.80% | 3.04% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% |
Frequently Asked Questions
WTMF and USFR have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WTMF has higher volatility (1.61%) compared to USFR (0.06%). In terms of maximum drawdown, WTMF dropped -30.79% vs USFR's -1.36%.
On 10-year performance, WTMF leads with 3.26% vs 2.47% for USFR. On fees, USFR is cheaper at 0.15% per year. On volatility, USFR 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 10-year period, WTMF has performed better with a 3.26% return vs 2.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
USFR is cheaper with a 0.15% expense ratio, compared with 0.65% for WTMF.
USFR has the higher dividend yield at 3.91%, compared with 2.80% for WTMF.
WTMF is categorized as Hedge Fund, while USFR is Government Bonds. WTMF tracks WisdomTree Managed Futures Index, while USFR tracks Bloomberg U.S. Treasury Floating Rate Bond Index. Their fees differ too: 0.65% for WTMF and 0.15% for USFR.
USFR currently has the higher Sharpe Ratio (15.11 vs 2.62), 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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