XSOE vs. WTMF
Compare and contrast key facts about WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and WisdomTree Managed Futures Strategy Fund (WTMF).
XSOE and WTMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XSOE is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree Emerging Markets ex-State-Owned Enterprises Index. It was launched on Dec 10, 2014. 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. Both XSOE and WTMF 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: XSOE or WTMF.
Key characteristics
| XSOE | WTMF | |
|---|---|---|
| YTD Return | 13.57% | 1.40% |
| 1Y Return | 23.23% | 6.34% |
| 3Y Return (Ann) | -3.88% | 2.56% |
| 5Y Return (Ann) | 4.25% | 4.04% |
| Sharpe Ratio | 1.49 | 0.93 |
| Sortino Ratio | 2.16 | 1.36 |
| Omega Ratio | 1.26 | 1.16 |
| Calmar Ratio | 0.59 | 0.44 |
| Martin Ratio | 8.56 | 2.25 |
| Ulcer Index | 2.78% | 2.99% |
| Daily Std Dev | 15.99% | 7.24% |
| Max Drawdown | -45.23% | -30.78% |
| Current Drawdown | -23.04% | -9.27% |
Correlation
The correlation between XSOE and WTMF is 0.11, 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.
Performance
XSOE vs. WTMF - Performance Comparison
In the year-to-date period, XSOE achieves a 13.57% return, which is significantly higher than WTMF's 1.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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XSOE vs. WTMF - Expense Ratio Comparison
XSOE has a 0.32% expense ratio, which is lower than WTMF's 0.65% expense ratio.
Risk-Adjusted Performance
XSOE vs. WTMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and WisdomTree Managed Futures Strategy Fund (WTMF). 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
XSOE vs. WTMF - Dividend Comparison
XSOE's dividend yield for the trailing twelve months is around 1.49%, less than WTMF's 4.68% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
XSOE WisdomTree Emerging Markets ex-State-Owned Enterprises Fund | 1.49% | 1.78% | 2.53% | 1.36% | 1.02% | 2.00% | 1.56% | 0.65% | 1.43% | 3.93% | 0.21% |
WTMF WisdomTree Managed Futures Strategy Fund | 4.68% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
XSOE vs. WTMF - Drawdown Comparison
The maximum XSOE drawdown since its inception was -45.23%, which is greater than WTMF's maximum drawdown of -30.78%. Use the drawdown chart below to compare losses from any high point for XSOE and WTMF. For additional features, visit the drawdowns tool.
Volatility
XSOE vs. WTMF - Volatility Comparison
WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) has a higher volatility of 7.32% compared to WisdomTree Managed Futures Strategy Fund (WTMF) at 1.74%. This indicates that XSOE's price experiences larger fluctuations and is considered to be riskier than WTMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.