Data as of Nov 4, 2026.
ASMF vs WTMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, ASMF moved less with the S&P 500 than WTMF: correlation +0.40 against +0.62.
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Net assets: $30m on Jul 31, 2026 for Virtus AlphaSimplex Managed Futures ETF, and $261m on Aug 31, 2026 for WisdomTree Managed Futures Strategy Fund.
ASMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, ASMF −0.49%.
WTMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, WTMF −0.37%.
Pair scorecard
WTMF costs 0.14 points a year less; their one-year returns differ by 0.5 points.
| Measure | ASMF | WTMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +13.2% | +12.7% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.80% | 0.66% |
| Net assets, ASMF as of Jul 31, 2026 and WTMF as of Aug 31, 2026 | $30m | $261m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.32: about 0.32% for each 1% | +0.38: about 0.38% for each 1% |
| Its average week when the S&P 500 fell | fell 0.49% | fell 0.37% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
May 24, 2024 to Oct 30, 2026 · 127 weekly returnsFrom May 2024 to Oct 2026, WTMF returned more: +23.9% to +8.1%. WTMF swung less: 7.2% to 9.3%. WTMF fell less at its worst: −6.8% to −13.7%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | ASMF | WTMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +8.1% | +23.9% | WTMF | Price change plus distributions, reinvested. |
| Annualized | +3.2% | +9.2% | WTMF | Total return as a yearly rate. |
| Price return | +6.1% | +8.4% | WTMF | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 9.3% | 7.2% | WTMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 6.9% | 5.0% | WTMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −13.7% | −6.8% | WTMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | −0.07 | 0.67 | WTMF | Return above Treasury bills per unit of volatility. |
| Sortino | −0.09 | 0.97 | WTMF | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.24 | 1.35 | WTMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 127 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | ASMF | WTMF |
| 3 months | +2.5% | +1.6% |
| 6 months | +1.1% | +3.0% |
| 1 year | +13.2% | +12.7% |
| 3 years | – | +33.3% |
| Since launchNot the same days: ASMF May 2024 · WTMF Jan 2011 | +6.6% | +21.0% |
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Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
ASMF and WTMF both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, ASMF’s weekly returns had a correlation of +0.40 with the S&P 500 and WTMF’s +0.62. In the 26 weeks the index fell, by 1.07% a week on average, ASMF averaged −0.49% and WTMF −0.37%. Over the same weeks, ASMF finished 9.2 percentage points ahead of cash and WTMF finished 8.1 points ahead of cash.
Client brief:
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ASMF
ASMF is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.40 with the S&P 500’s and a beta of +0.32, so for each 1% the index moved it moved about 0.32% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks ASMF fell 0.49% on average, a down-week capture of 45.9%. Over the same 52 weeks ASMF returned +12.9% and a Treasury bill fund +3.7%, so it finished 9.2 percentage points ahead of cash.
WTMF
WTMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.62 with the S&P 500’s and a beta of +0.38, so for each 1% the index moved it moved about 0.38% the same way. In the same weeks WTMF fell 0.37% on average, a down-week capture of 34.4%. Over the same 52 weeks WTMF returned +11.8% and a Treasury bill fund +3.7%, so it finished 8.1 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, ASMF or WTMF?
- Over the 52 weeks to Nov 4, 2026, ASMF’s weekly returns had a correlation of +0.40 with the S&P 500 and WTMF’s +0.62, so ASMF moved less with the index.
- Which did better when the S&P 500 fell, ASMF or WTMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, ASMF averaged −0.49% and WTMF −0.37%, so WTMF returned more in those weeks.
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How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
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ETFIQ, ASMF against WTMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/asmf-vs-wtmf
ETFIQ. (Nov 4, 2026). ASMF against WTMF. Retrieved from https://etfiq.com/compare/alternatives/asmf-vs-wtmf
[ASMF against WTMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/asmf-vs-wtmf)
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