Data as of Nov 4, 2026.
TFPN vs WTMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, WTMF moved less with the S&P 500 than TFPN: correlation +0.62 against +0.75.
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Net assets: $170m on Jun 30, 2026 for Blueprint Chesapeake Multi-Asset Trend ETF, and $261m on Aug 31, 2026 for WisdomTree Managed Futures Strategy Fund.
TFPN in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, TFPN −1.32%.
WTMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, WTMF −0.37%.
Pair scorecard
WTMF costs 0.47 points a year less; their one-year returns differ by 1.5 points.
| Measure | TFPN | WTMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +14.2% | +12.7% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 1.13% | 0.66% |
| Net assets, TFPN as of Jun 30, 2026 and WTMF as of Aug 31, 2026 | $170m | $261m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +1.00: about 1.00% for each 1% | +0.38: about 0.38% for each 1% |
| Its average week when the S&P 500 fell | fell 1.32% | 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
Jul 21, 2023 to Oct 30, 2026 · 171 weekly returnsFrom Jul 2023 to Oct 2026, WTMF returned more: +36.1% to +18.9%. WTMF swung less: 6.8% to 10.7%. WTMF fell less at its worst: −7.7% to −15.4%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | TFPN | WTMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +18.9% | +36.1% | WTMF | Price change plus distributions, reinvested. |
| Annualized | +5.4% | +9.8% | WTMF | Total return as a yearly rate. |
| Price return | +16.7% | +13.5% | TFPN | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 10.7% | 6.8% | WTMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 7.9% | 4.7% | WTMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −15.4% | −7.7% | WTMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.12 | 0.75 | WTMF | Return above Treasury bills per unit of volatility. |
| Sortino | 0.17 | 1.08 | WTMF | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.35 | 1.28 | WTMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 171 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | vs its benchmark | |||
|---|---|---|---|---|
| Window | TFPN | WTMF | TFPN | WTMF |
| 3 months | −3.4% | +1.6% | −3.3 pts vs VOO | not measured |
| 6 months | −8.5% | +3.0% | −13.5 pts vs VOO | not measured |
| 1 year | +14.2% | +12.7% | −0.6 pts vs VOO | not measured |
| 3 years | +18.6% | +33.3% | −64.7 pts vs VOO | not measured |
| Since launchNot the same days: TFPN Jul 2023 · WTMF Jan 2011 | +17.8% | +21.0% | −61.6 pts vs VOO | not measured |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
TFPN and WTMF both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, TFPN’s weekly returns had a correlation of +0.75 with the S&P 500 and WTMF’s +0.62. In the 26 weeks the index fell, by 1.07% a week on average, TFPN averaged −1.32% and WTMF −0.37%. Over the same weeks, TFPN finished 10.8 percentage points ahead of cash and WTMF finished 8.1 points ahead of cash.
Client brief:
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TFPN
TFPN 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 +0.75 with the S&P 500’s and a beta of +1.00, so for each 1% the index moved it moved about 1.00% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks TFPN fell 1.32% on average, a down-week capture of 123.6%. Over the same 52 weeks TFPN returned +14.4% and a Treasury bill fund +3.7%, so it finished 10.8 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, TFPN or WTMF?
- Over the 52 weeks to Nov 4, 2026, TFPN’s weekly returns had a correlation of +0.75 with the S&P 500 and WTMF’s +0.62, so WTMF moved less with the index.
- Which did better when the S&P 500 fell, TFPN or WTMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, TFPN averaged −1.32% 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, TFPN against WTMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/tfpn-vs-wtmf
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[TFPN against WTMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/tfpn-vs-wtmf)
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