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WTMFPR

WisdomTree Managed Futures Index

The WisdomTree Managed Futures Index is a long/short, rules-based Index designed to provide exposure to a portfolio consisting of diversified futures contracts for commodities, currencies and interest rates. On a monthly basis, assets with lower realized volatility will be selected, and a determination to go long or short the futures contracts of the selected assets under a proprietary composite momentum framework will be made. The composite momentum framework incorporates multiple momentum signals to decide the direction and weight in the Index.

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Index Facts

Index Facts
As of 09/21/2018
Bloomberg Index Symbol WTMFPR
Exchange Index Symbol
Index Inception Date 05/02/2016
Base Index Value 200
Number of Components in Index 19
Current Index Value 193.36
Total Return Index Closing Value 198.32
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This chart illustrates how hypothetical investment of $10,000 might have grown. The calculations assume reinvestment of dividend and do not reflect transaction and other costs.


Results are not indicative of future performance. Index performance does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in the Index. Index performance assumes reinvestment of dividends, but does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in Fund shares. Such fees, expenses and commissions could reduce returns. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein.

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Components

Component Group
As of 09/21/2018
Weight
Cash 7.02%
Commodities 56.14%
Long 24.56%
Energy 14.04%
Grains 3.51%
LiveStock 3.51%
Softs 3.51%
Short 31.58%
Grains 15.79%
Industrial Metals 5.26%
Precious Metals 10.53%
Financials 36.84%
Long 3.51%
US Rates 3.51%
Short 33.33%
Currencies 24.56%
US Rates 8.77%
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Correlation Matrix of Indexes

Index Volatility

Definitions

  • Long (or Long Position) is the buying of a security such as a stock, commodity or currency, with the expectation that the asset will rise in value, the opposite of Short (or Short Position).
  • Short (or Short Position) is the sale of a borrowed security, commodity or currency with the expectation that the asset will fall in value, the opposite of Long (or Long Position).
  • Futures/Futures Contract reflects the expected future value of a commodity, currency or Treasury security.
  • Interest rate is the rate at which interest is paid by a borrower for the use of money.
  • Volatility is a measure of the dispersion of actual returns around a particular average level.
  • Momentum is the rate of acceleration of a securitys price or volume.
    • You cannot invest directly in an index.
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