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

Managed Futures Index Methodology

Index Facts

Index Facts
	As of 09/25/2020
Bloomberg Index Symbol	WTMFPR
Exchange Index Symbol
Index Inception Date	05/02/2016
Base Index Value	200
Number of Components in Index	18
Current Index Value	172.73
Total Return Index Closing Value	182.86

Components

Component Group	As of 09/25/2020 Weight
Unassigned	27.78%
Long	20.37%
Unassigned	20.37%
Short	7.41%
Unassigned	7.41%
Cash	7.41%
Commodities	20.37%
Long	20.37%
Energy	5.56%
Grains	5.56%
Softs	9.26%
Financials	44.44%
Long	44.44%
Currencies	27.78%
US Rates	16.67%

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.