WTMF vs. VOO
Compare and contrast key facts about WisdomTree Managed Futures Strategy Fund (WTMF) and Vanguard S&P 500 ETF (VOO).
WTMF and VOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. WTMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Managed Futures Index. It was launched on Jan 5, 2011. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010. Both WTMF and VOO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WTMF or VOO.
Performance
WTMF vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, WTMF achieves a 3.05% return, which is significantly lower than VOO's 24.51% return. Over the past 10 years, WTMF has underperformed VOO with an annualized return of 1.04%, while VOO has yielded a comparatively higher 13.12% annualized return.
WTMF
3.05%
0.95%
-2.19%
6.22%
4.59%
1.04%
VOO
24.51%
0.61%
11.38%
32.00%
15.30%
13.12%
Key characteristics
| WTMF | VOO | |
|---|---|---|
| Sharpe Ratio | 0.83 | 2.64 |
| Sortino Ratio | 1.25 | 3.53 |
| Omega Ratio | 1.14 | 1.49 |
| Calmar Ratio | 0.49 | 3.81 |
| Martin Ratio | 2.00 | 17.34 |
| Ulcer Index | 3.26% | 1.86% |
| Daily Std Dev | 7.85% | 12.20% |
| Max Drawdown | -30.78% | -33.99% |
| Current Drawdown | -7.79% | -2.16% |
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WTMF vs. VOO - Expense Ratio Comparison
WTMF has a 0.65% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between WTMF and VOO is 0.10, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
WTMF vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Managed Futures Strategy Fund (WTMF) and Vanguard S&P 500 ETF (VOO). 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.
Dividends
WTMF vs. VOO - Dividend Comparison
WTMF's dividend yield for the trailing twelve months is around 3.27%, more than VOO's 1.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WTMF WisdomTree Managed Futures Strategy Fund | 3.27% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.26% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
WTMF vs. VOO - Drawdown Comparison
The maximum WTMF drawdown since its inception was -30.78%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for WTMF and VOO. For additional features, visit the drawdowns tool.
Volatility
WTMF vs. VOO - Volatility Comparison
The current volatility for WisdomTree Managed Futures Strategy Fund (WTMF) is 3.46%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.09%. This indicates that WTMF experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.