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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.

WTMFPR INFORMATION AND RESEARCH

Index Facts

Index Facts
As of 04/07/2020
Bloomberg Index Symbol WTMFPR
Exchange Index Symbol
Index Inception Date 05/02/2016
Base Index Value 200
Number of Components in Index 17
Current Index Value 179.61
Total Return Index Closing Value 190.02

Components

Component Group
As of 04/07/2020
Weight
Cash 1.96%
Commodities 56.86%
Long 15.69%
Grains 5.88%
Precious Metals 5.88%
Softs 3.92%
Short 41.18%
Grains 17.65%
Industrial Metals 5.88%
LiveStock 5.88%
Precious Metals 5.88%
Softs 5.88%
Financials 41.18%
Long 21.57%
Currencies 5.88%
US Rates 15.69%
Short 19.61%
Currencies 19.61%

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.