Key stats
About WisdomTree Managed Futures Strategy Fund
Expense ratio
0.65%
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Inception date
Jan 5, 2011
WTMF seeks positive, uncorrelated returns using long and short positions in commodity, currency, and Treasury futures. The ETF does not explicitly track an underlying index, but nonetheless aims to provide the returns of a WisdomTree benchmark index. The index selects from 24 diversified, near-month futures contracts. At each monthly rebalance, the four most volatile contracts are screened out while the rest are assigned equal weight. The direction of each position, long or short, is determined by the contracts 3-, 6-, and 12-month momentum signals. If there is a conflict between the three signals, the majority will determine the direction and the position will be reducedone-third will be replaced with short-term Treasurys. In addition, the index will not take short positions in energy futures. Overall, the strategy favors clear momentum trends without excessive volatility. Prior to July 1 2016, the fund traded under the ticker WDTI and aimed to emulate the DTI, a well-known managed futures index.
Classification
What's in the fund
Exposure type
Government
Mutual fund
Bonds, Cash & Other100.00%
Government69.51%
Mutual fund18.38%
Cash8.00%
ETF4.11%