Not only do managed futures strategies provide diversification potential at the asset class and investment strategy level, they may also help to lower portfolio risk, reduce long-term volatility and enhance returns. Contracts to buy or sell commodities, currencies or interest rates (at a future date), managed futures provide investors the benefits of:
Diversification does not eliminate the risk of experiencing investment losses.
24 futures contracts: 16 commodities and 8 financials, including
Crude Oil, Natural Gas, Heating Oil, Gasoline, Copper, Gold, Silver, Soybeans, Corn,
Wheat, Coffee, Sugar, Cotton, Cocoa, Live Cattle, Lean Hogs
EURUSD, JPYUSD, GBPUSD, CHFUSD, AUDUSD, CADUSD
10-Year U.S. Note, 30-Year U.S. Bond
Monthly
Based on the Composite Momentum Signal (CMS) framework
Short positions in energy commodities (Crude, Natural Gas, Heating Oil and Gasoline) are not allowed; if signals suggest short position, the strategy will go flat for those four commodities
Rank the last 36-month annualized volatilities of 24 assets under the CMS framework; select the first 20 assets with lower volatilties; selected contracts are given equal nominal weight
If energy commodities are selected but signals suggest short position, in the strategy will go flat for the selected commodities and assign their nominal weights to other selected futures proportionally
The effective weight of each selected contract is decided based on the degree of conviction under CMS. With full conviction, the effective weight is the same as the nominal weight; otherwise, the effective weight is 2/3 of the nominal weight
U.S. 3-Month Treasury Bill
Designed to track the WisdomTree Managed Futures Index, the WisdomTree Managed Futures Strategy Fund, WDTI, provides the potential advantages of managed futures and DTI-plus all the benefits of an ETF.
*Ordinary brokerage commissions apply.
**Holdings are provided daily on the website.
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.
Managed futures strategies can provide the downside protection and true diversification potential investors like you need. WDTI is a smart way to access an established managed futures strategy.
Asset class diversification — As commodities, currencies and interest rates are usually non- or negatively correlated to traditional assets, WDTI may help reduce portfolio volatility and lower overall risk
Strategy diversification — WDTI uses a long/short strategy designed to profit from both rising and falling markets
Inflation hedge — The ability to go long or short commodities, non-U.S. currencies and U.S. Treasuries gives WDTI the potential to perform in both inflationary and deflationary environments
Diversification does not eliminate the risk of experiencing investment losses.