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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.

Documents

Index Facts

As of 07/20/2017
Bloomberg Index Symbol WTMFPR
Exchange Index Symbol
Index Inception Date 05/02/2016
Base Index Value 200
Number of Components in Index 16
Current Index Value 187.49
Total Return Index Closing Value 187.49
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Components

Component Group
As of 07/20/2017
Weight
Cash 20.83%
Commodities 41.67%
Long 14.58%
Industrial Metals 4.17%
LiveStock 6.25%
Softs 4.17%
Short 27.08%
Grains 6.25%
Precious Metals 8.33%
Softs 12.50%
Financials 37.50%
Long 33.33%
Currencies 25.00%
US Rates 8.33%
Short 4.17%
US Rates 4.17%
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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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