(NEW) WisdomTree 90/60 U.S. Balanced Fund

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whodidntante
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by whodidntante » Wed Jan 08, 2020 11:00 pm

klaus14 wrote:
Sat Dec 21, 2019 6:10 pm
allwin wrote:
Sat Dec 21, 2019 6:09 pm
I have a naive question. If one decides to buy this fund according to their stock/bond AA, will $100 of NTSX count as $90 of stock and $60 of bonds (= $150 total)?

Thanks.
I consider it as:
$90 of stock and $60 of intermediate term treasuries and -$50 cash (which cancels any money market or TBills i have).

Another way:
$90 stock, $10 bonds (but very very long term bonds, probably around 60 year effective duration)
This fund makes me grin when I consider the threads where people proudly claim they would never own 0% bonds, that it doesn't make sense to own 0% bonds, etc. Due to offsetting short position in cash due to the way the leverage is accomplished in this fund, people who own this fund are buying something that acts much like a 60 year term 0% (or at least very low yielding) bond for the fixed income component.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Thu Jan 09, 2020 12:20 am

unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.
Glad to hear that NTSX worked well with such a large purchase. :sharebeer

itmaybejj
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by itmaybejj » Thu Jan 09, 2020 7:04 am

unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.

I wonder how often they update their Assets Under Management. It's still set at exactly 1 million shares x NAV. I assume that's not a coincidence and is the number they launched with... I'm assuming any basket creation/redemption would that number?

schismal
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by schismal » Thu Jan 09, 2020 7:33 am

unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.
Thanks for letting us know -- that should quell the concern about liquidity that some have voiced.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by AlohaJoe » Thu Jan 09, 2020 7:45 am

unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.
You should post that in livesoft's broker execution case study thread

viewtopic.php?t=165732

mjb
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by mjb » Thu Jan 09, 2020 8:04 am

It had 14.9 million in outflows after surging for a while. https://etfdb.com/etf/NTSX/

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Thu Jan 09, 2020 9:02 am

mjb wrote:
Thu Jan 09, 2020 8:04 am
It had 14.9 million in outflows after surging for a while. https://etfdb.com/etf/NTSX/
Big holder(s) sold Jan 2 or 3rd. The AUM dropped from ~$45M to ~$30M.
Last edited by guyinlaw on Thu Jan 09, 2020 9:06 am, edited 1 time in total.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jhfenton » Thu Jan 09, 2020 9:04 am

mjb wrote:
Thu Jan 09, 2020 8:04 am
It had 14.9 million in outflows after surging for a while. https://etfdb.com/etf/NTSX/
That is odd, but I see the same updated AUM numbers everywhere now. I wonder who bailed.
unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.
:beer WisdomTree actually quotes implied daily liquidity of $13.6 billion for NTSX. You were comfortably under that. :mrgreen:

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Thu Jan 09, 2020 9:07 am

jhfenton wrote:
Thu Jan 09, 2020 9:04 am


:beer WisdomTree actually quotes implied daily liquidity of $13.6 billion for NTSX. You were comfortably under that. :mrgreen:
NTSX holds two of the most liquid assets S&P500 and Treasury futures..

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Thu Jan 09, 2020 9:28 am

rascott wrote:
Mon Jan 06, 2020 10:17 am
caklim00 wrote:
Sun Jan 05, 2020 2:36 pm
HEDGEFUNDIE wrote:
Fri Jan 03, 2020 1:28 am
I will be buying into NTSX tomorrow for the first time.

I would have preferred more PSLDX but Fidelity BrokerageLink doesn’t like that one so much.
Anyone else really dig into the return of PSLDX? It looks impressive but if you compare it to its benchmark index which is just S&P 500 + Long Term treasury futrues - CASH it seems that it it really isn't adding much value. Some years it slightly beats its index and some years it slightly trails. Wondering why PSLDX instead of just running it yourself with S&P 500/TSM/US Equity fund of choice + treasury Futures

PSLDX is long duration.... not just long Treasury. It's an actively managed bond fund.... has some corporate credit risk in there as well. Running a perfectly balanced futures account is something easier said than done for a DIYer.
True. If you want to have credit risk then DIY isn't a good option.

I guess after buying Treasury futures I see how easy it is. I originally was afraid when I heard the word futures since it was a novel concept to me but beyond making sure you have proper maintenance margin and you roll the contracts there isn't much else to do. I really like the idea of NTSX but don't want to give up my tilts.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by schismal » Thu Jan 09, 2020 11:32 am

I tried inserting NTSX into triceratop's tax efficiency worksheet: LINK (note, I only updated the highlighted funds)

Unless I made an error, NTSX was actually more tax efficient than VTI (0.3 vs 0.34). The primary reason seems to be very low dividend distributions, which are in line with S&P 500 funds like VOO (which shouldn't be too surprising), as well as minimal capital gains with treasury futures. I pulled the dividend and capital gains info from WisdomTree's site, and I assumed a QDI ratio of 1, since that was the case in 2018 and the full 2019 tax information won't be released until later this month.

The small tax advantage compared to VTI is abrogated by the difference in ER, of course. However, NTSX is more tax efficient than holding common international funds like VXUS. If I made an error, though, please let me know.

On the topic of tax efficiency, I came across this article that breaks down whether holding direct treasuries or treasury futures is more tax efficient in various rate environments. Might be of interest: LINK

hen1230
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by hen1230 » Thu Jan 09, 2020 1:15 pm

Does anyone know what the effective duration of the Treasuries in this fund are?

schismal
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by schismal » Thu Jan 09, 2020 1:23 pm

hen1230 wrote:
Thu Jan 09, 2020 1:15 pm
Does anyone know what the effective duration of the Treasuries in this fund are?
Equal exposure across durations, averaging to 7-8 years.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by PluckyDucky » Thu Jan 09, 2020 1:23 pm

hen1230 wrote:
Thu Jan 09, 2020 1:15 pm
Does anyone know what the effective duration of the Treasuries in this fund are?
From the prospectus:

Principal Investment Strategies of the FundThe Fund is actively managed using a models-based approach. The Fund seeks to achieve its investment objective byinvesting in large-capitalization U.S. equity securities and U.S. Treasury futures contracts.The Fund invests in a representative basket of U.S. equity securities of large-capitalization companies generallyweighted by market capitalization. Under normal circumstances, the Fund will invest approximately 90% of its netassets in U.S. equity securities.The remainder of the net assets, which WisdomTree Asset Management, Inc., the Fund’s investment adviser(“WisdomTree Asset Management” or the “Adviser”), expects to be in cash and cash equivalents, will serve ascollateral for U.S. Treasury futures contracts’ positions of varying maturities ranging from 2 to 30 years, which areselected to achieve a target duration of 3 to 8 years. Duration is a measure used to determine the sensitivity of aportfolio to changes in interest rates with a longer duration portfolio being more sensitive to changes in interestrates. Under normal circumstances, the notional exposure to the aggregate U.S. Treasury futures contracts’positions will represent approximately 60% of the Fund’s net assets. The Adviser expects that the level of interestrate risk offered by the weighted positions in the U.S. Treasury futures contracts will be set and maintained at risklevels consistent with intermediate term fixed income securities. It is anticipated that the U.S. Treasury futurescontracts will be rolled as they near expiry into new contracts, with the size of the futures positions at differentmaturity points adjusted to maintain the desired interest rate risk exposure.To the extent exposure of the equity and fixed income portions of the Fund deviates from the targeted 90% equityand 60% U.S. Treasury futures contracts allocations noted above by 5% or greater, it is anticipated that the Fundwill be rebalanced to more closely align with the original target allocations.WisdomTree Asset Management uses Standard & Poor’s Global Industry Classification Standards (“S&P GICS”) todefine companies within a sector. The following sectors are included in the Fund: consumer discretionary,consumer staples, energy, financials, health care, industrials, information technology, materials, real estate,communication services, and utilities. A sector is comprised of multiple industries. For example, the energy sector iscomprised of companies in, among others, the natural gas, oil and petroleum industries. As of September 30, 2019,companies in the information technology sector comprised a significant portion of the Fund.

hen1230
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by hen1230 » Thu Jan 09, 2020 1:31 pm

PluckyDucky wrote:
Thu Jan 09, 2020 1:23 pm
hen1230 wrote:
Thu Jan 09, 2020 1:15 pm
Does anyone know what the effective duration of the Treasuries in this fund are?
From the prospectus:

Principal Investment Strategies of the FundThe Fund is actively managed using a models-based approach. The Fund seeks to achieve its investment objective byinvesting in large-capitalization U.S. equity securities and U.S. Treasury futures contracts.The Fund invests in a representative basket of U.S. equity securities of large-capitalization companies generallyweighted by market capitalization. Under normal circumstances, the Fund will invest approximately 90% of its netassets in U.S. equity securities.The remainder of the net assets, which WisdomTree Asset Management, Inc., the Fund’s investment adviser(“WisdomTree Asset Management” or the “Adviser”), expects to be in cash and cash equivalents, will serve ascollateral for U.S. Treasury futures contracts’ positions of varying maturities ranging from 2 to 30 years, which areselected to achieve a target duration of 3 to 8 years. Duration is a measure used to determine the sensitivity of aportfolio to changes in interest rates with a longer duration portfolio being more sensitive to changes in interestrates. Under normal circumstances, the notional exposure to the aggregate U.S. Treasury futures contracts’positions will represent approximately 60% of the Fund’s net assets. The Adviser expects that the level of interestrate risk offered by the weighted positions in the U.S. Treasury futures contracts will be set and maintained at risklevels consistent with intermediate term fixed income securities. It is anticipated that the U.S. Treasury futurescontracts will be rolled as they near expiry into new contracts, with the size of the futures positions at differentmaturity points adjusted to maintain the desired interest rate risk exposure.To the extent exposure of the equity and fixed income portions of the Fund deviates from the targeted 90% equityand 60% U.S. Treasury futures contracts allocations noted above by 5% or greater, it is anticipated that the Fundwill be rebalanced to more closely align with the original target allocations.WisdomTree Asset Management uses Standard & Poor’s Global Industry Classification Standards (“S&P GICS”) todefine companies within a sector. The following sectors are included in the Fund: consumer discretionary,consumer staples, energy, financials, health care, industrials, information technology, materials, real estate,communication services, and utilities. A sector is comprised of multiple industries. For example, the energy sector iscomprised of companies in, among others, the natural gas, oil and petroleum industries. As of September 30, 2019,companies in the information technology sector comprised a significant portion of the Fund.
Thanks. I just found out that the effective duration is 7.13 from https://www.wisdomtree.com/-/media/us-m ... s-ntsx.pdf

hen1230
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by hen1230 » Thu Jan 09, 2020 1:36 pm

Can the performance of NTSX be approximated on portfoliovisualizer using 90% SPY, 60% IEF, -50% CASHX?

klaus14
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by klaus14 » Thu Jan 09, 2020 1:47 pm

hen1230 wrote:
Thu Jan 09, 2020 1:36 pm
Can the performance of NTSX be approximated on portfoliovisualizer using 90% SPY, 60% IEF, -50% CASHX?
yes.
15% VFMF, 15% NTSX | 10% ISCF, 5% EFAV | 5% FNDE, 5% EMGF, 5% VEGBX, 5% LEMB | 15% EDV, 5% CD (5y), 5% I/EE Bonds | 10% GLDM

international001
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by international001 » Thu Jan 09, 2020 2:41 pm

Looking at morningstar, it seems to have a really low yield. Shouldn't it be preferred for taxable?

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Thu Jan 09, 2020 3:11 pm

international001 wrote:
Thu Jan 09, 2020 2:41 pm
Looking at morningstar, it seems to have a really low yield. Shouldn't it be preferred for taxable?
Yes, It is tax efficient,
in 2019 NTSX distributed 0.39% of NAV (~28% STCG, ~72% LTCG)

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by international001 » Fri Jan 10, 2020 7:01 pm

A good reason to hold it on taxable and keep TSM on tax-deferred if you want to diversify, then.

IS there a way of knowing if the income part are Qualfied dividends?
Any chance that the CG will be avoided on the future, or it's a feature of leverage funds? (I see some only on Dec-2019)

Cannot wait for the next bear market to see how NTSX does ;-)

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by columbia » Fri Jan 10, 2020 7:11 pm

international001 wrote:
Fri Jan 10, 2020 7:01 pm
A good reason to hold it on taxable and keep TSM on tax-deferred if you want to diversify, then.

IS there a way of knowing if the income part are Qualfied dividends?
Any chance that the CG will be avoided on the future, or it's a feature of leverage funds? (I see some only on Dec-2019)

Cannot wait for the next bear market to see how NTSX does ;-)
It should fare pretty well compared to VOO.

schismal
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by schismal » Fri Jan 10, 2020 7:33 pm

international001 wrote:
Fri Jan 10, 2020 7:01 pm
A good reason to hold it on taxable and keep TSM on tax-deferred if you want to diversify, then.

IS there a way of knowing if the income part are Qualfied dividends?
Any chance that the CG will be avoided on the future, or it's a feature of leverage funds? (I see some only on Dec-2019)

Cannot wait for the next bear market to see how NTSX does ;-)
1) We'll know about the 2019 dividends soon. 100% were qualified in 2018, and I'd expect something similar. I posted a more detailed tax breakdown a few posts up with a link to the forum's standard tax efficiency worksheet.

2) It will always distribute annual CG from the treasury futures. That's just how these contracts work: no quarterly coupons, but you do get annual CG.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by JAZZISCOOL » Fri Jan 10, 2020 8:27 pm

itmaybejj wrote:
Thu Jan 09, 2020 7:04 am
unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.

I wonder how often they update their Assets Under Management. It's still set at exactly 1 million shares x NAV. I assume that's not a coincidence and is the number they launched with... I'm assuming any basket creation/redemption would that number?
Schwab shows $44.4 million AUM 12/31/19. They're pretty good at updating data.

I just started to read this thread. Interesting product for retail investors. :happy

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jhfenton » Fri Jan 10, 2020 9:24 pm

JAZZISCOOL wrote:
Fri Jan 10, 2020 8:27 pm
itmaybejj wrote:
Thu Jan 09, 2020 7:04 am
unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.

I wonder how often they update their Assets Under Management. It's still set at exactly 1 million shares x NAV. I assume that's not a coincidence and is the number they launched with... I'm assuming any basket creation/redemption would that number?
Schwab shows $44.4 million AUM 12/31/19. They're pretty good at updating data.

I just started to read this thread. Interesting product for retail investors. :happy
That was accurate on 12/31/19, but there was a $14.88 MM outflow on Monday this week (01/06/20). AUM is currently at $30.09 MM.

There are 1 million shares outstanding, but that is not what they launched with. ETF.com still shows net inflows since creation of $21+ MM, after the large redemption this week.

I have bought a small amount in tax-advantaged, and I plan to keep adding slowly. But I would not go in heavy in taxable, simply because of the closure risk. I suspect it will eventually attract assets and survive, but I felt better when it was at $44 MM and trending upward.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by JAZZISCOOL » Fri Jan 10, 2020 9:52 pm

jhfenton wrote:
Fri Jan 10, 2020 9:24 pm
JAZZISCOOL wrote:
Fri Jan 10, 2020 8:27 pm
itmaybejj wrote:
Thu Jan 09, 2020 7:04 am
unknownfuture wrote:
Wed Jan 08, 2020 10:35 pm
Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.

I wonder how often they update their Assets Under Management. It's still set at exactly 1 million shares x NAV. I assume that's not a coincidence and is the number they launched with... I'm assuming any basket creation/redemption would that number?
Schwab shows $44.4 million AUM 12/31/19. They're pretty good at updating data.

I just started to read this thread. Interesting product for retail investors. :happy
That was accurate on 12/31/19, but there was a $14.88 MM outflow on Monday this week (01/06/20). AUM is currently at $30.09 MM.

There are 1 million shares outstanding, but that is not what they launched with. ETF.com still shows net inflows since creation of $21+ MM, after the large redemption this week.

I have bought a small amount in tax-advantaged, and I plan to keep adding slowly. But I would not go in heavy in taxable, simply because of the closure risk. I suspect it will eventually attract assets and survive, but I felt better when it was at $44 MM and trending upward.
Wow. That's a huge outflow, percentage-wise. I wonder if there is any transparency into why the large outflow. Yes, I've heard ~$50 mm is the threshold for "staying alive" in the ETF world.

Yes, probably better in a tax-exempt account if one were to put toe in the water.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jhfenton » Fri Jan 10, 2020 10:14 pm

JAZZISCOOL wrote:
Fri Jan 10, 2020 9:52 pm
Wow. That's a huge outflow, percentage-wise. I wonder if there is any transparency into why the large outflow. Yes, I've heard ~$50 mm is the threshold for "staying alive" in the ETF world.

Yes, probably better in a tax-exempt account if one were to put toe in the water.
I've wondered the same thing, but there's not any transparency at that level. There was an even larger inflow at the begging of September. Maybe there was an institutional investor who wanted a parking place for Q4? I certainly haven't seen any unexpected behavior from NTSX. The fund is exactly what it promises and has performed accordingly. It doesn't make any sense to me.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by JAZZISCOOL » Fri Jan 10, 2020 10:19 pm

Interesting. I haven't followed leveraged ETF's in the past given, in part, the high ER's but this one is fairly low IMO.

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Sat Jan 11, 2020 1:55 am

Margin needed to hold treasury futures

NTSX holds 2y, 5y 10y, 10y ultra and 20y treasury futures. The treasury futures need approx from 0.31% to 1.9% of margin. The margin that NTSX fund need to hold would be less than 0.7% of its NAV.

NTSX has allocated 10% of its assets for Treasury futures. That means the fund has approx 9.3% available in cash.

Yes this cash should be available if the bond futures drop substantially and margin is increased.. But this cash can be invested in ultra short term bond, money market or such an instrument. I donot see such an investment in the ETF holding list

I wonder what WisdomTree is doing with this 9.3% cash.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by itmaybejj » Sat Jan 11, 2020 9:57 am

guyinlaw wrote:
Sat Jan 11, 2020 1:55 am

NTSX has allocated 10% of its assets for Treasury futures. That means the fund has approx 9.3% available in cash.
...
I wonder what WisdomTree is doing with this 9.3% cash.
Something seasonally appropriate, one can assume.

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Sat Jan 11, 2020 10:57 am

guyinlaw wrote:
Sat Jan 11, 2020 1:55 am
Margin needed to hold treasury futures

NTSX holds 2y, 5y 10y, 10y ultra and 20y treasury futures. The treasury futures need approx from 0.31% to 1.9% of margin. The margin that NTSX fund need to hold would be less than 0.7% of its NAV.

NTSX has allocated 10% of its assets for Treasury futures. That means the fund has approx 9.3% available in cash.

Yes this cash should be available if the bond futures drop substantially and margin is increased.. But this cash can be invested in ultra short term bond, money market or such an instrument. I donot see such an investment in the ETF holding list

I wonder what WisdomTree is doing with this 9.3% cash.
Don't they hold T-Bills?

I hold inidvidual contracts and I haven't found a way to do this so I earn nothing on my cash balance I hold at IKBR Lite.

Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?

Gemini
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by Gemini » Sat Jan 11, 2020 11:06 am

whodidntante wrote:
Wed Jan 08, 2020 11:00 pm
klaus14 wrote:
Sat Dec 21, 2019 6:10 pm
allwin wrote:
Sat Dec 21, 2019 6:09 pm
I have a naive question. If one decides to buy this fund according to their stock/bond AA, will $100 of NTSX count as $90 of stock and $60 of bonds (= $150 total)?

Thanks.
I consider it as:
$90 of stock and $60 of intermediate term treasuries and -$50 cash (which cancels any money market or TBills i have).

Another way:
$90 stock, $10 bonds (but very very long term bonds, probably around 60 year effective duration)
This fund makes me grin when I consider the threads where people proudly claim they would never own 0% bonds, that it doesn't make sense to own 0% bonds, etc. Due to offsetting short position in cash due to the way the leverage is accomplished in this fund, people who own this fund are buying something that acts much like a 60 year term 0% (or at least very low yielding) bond for the fixed income component.
Would the equity risk premium be higher for NTSX or VTI?

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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by muffins14 » Sat Jan 11, 2020 3:22 pm

The equity risk premium would be the independent of the funds, right? But VTI would have a beta of 1 whereas NTSX is more like 0.9*S&P500 = 0.9*0.98 ~ 0.88, so you’re exposed to less equity risk with NTSX, mainly because it’s 90% equity instead of 100%

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Sun Jan 12, 2020 10:14 pm

caklim00 wrote:
Sat Jan 11, 2020 10:57 am

I hold inidvidual contracts and I haven't found a way to do this so I earn nothing on my cash balance I hold at IKBR Lite.

Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?
Schwab holds the margin on futures side -- 0.31% to 1.9% for Treasury and <5% for micro E-mini.

in the brokerage account I hold certain amount in ICSH, ultra short term bond fund. I do not hold much cash.

I have multiple contingent GTC trades set up for certain amounts of ICSH to be sold if the futures (or equivalent ETFs) drop by certain amount.

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Sun Jan 12, 2020 10:21 pm

caklim00 wrote:
Sat Jan 11, 2020 10:57 am
guyinlaw wrote:
Sat Jan 11, 2020 1:55 am
Margin needed to hold treasury futures

NTSX holds 2y, 5y 10y, 10y ultra and 20y treasury futures. The treasury futures need approx from 0.31% to 1.9% of margin. The margin that NTSX fund need to hold would be less than 0.7% of its NAV.

NTSX has allocated 10% of its assets for Treasury futures. That means the fund has approx 9.3% available in cash.

Yes this cash should be available if the bond futures drop substantially and margin is increased.. But this cash can be invested in ultra short term bond, money market or such an instrument. I donot see such an investment in the ETF holding list

I wonder what WisdomTree is doing with this 9.3% cash.
Don't they hold T-Bills?
They do get interest on their 9% cash reserves, they are put in 3-month T-Bills.

https://www.wisdomtree.com/-/media/us-m ... s-ntsx.pdf

caklim00
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Sun Jan 12, 2020 10:35 pm

guyinlaw wrote:
Sun Jan 12, 2020 10:14 pm
caklim00 wrote:
Sat Jan 11, 2020 10:57 am

I hold inidvidual contracts and I haven't found a way to do this so I earn nothing on my cash balance I hold at IKBR Lite.

Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?
Schwab holds the margin on futures side -- 0.31% to 1.9% for Treasury and <5% for micro E-mini.

in the brokerage account I hold certain amount in ICSH, ultra short term bond fund. I do not hold much cash.

I have multiple contingent GTC trades set up for certain amounts of ICSH to be sold if the futures (or equivalent ETFs) drop by certain amount.
So how exactly do you determine when it auto sells ICSH? Is this something that is doable based on the value of the futures? Or are you having to esitmate based on ETFs (like IEF for ZN 10 year as an example). I'm trying to figure out the mechanics.

guyinlaw
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by guyinlaw » Mon Jan 13, 2020 12:33 am

caklim00 wrote:
Sun Jan 12, 2020 10:35 pm
guyinlaw wrote:
Sun Jan 12, 2020 10:14 pm
caklim00 wrote:
Sat Jan 11, 2020 10:57 am

I hold inidvidual contracts and I haven't found a way to do this so I earn nothing on my cash balance I hold at IKBR Lite.

Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?
Schwab holds the margin on futures side -- 0.31% to 1.9% for Treasury and <5% for micro E-mini.

in the brokerage account I hold certain amount in ICSH, ultra short term bond fund. I do not hold much cash.

I have multiple contingent GTC trades set up for certain amounts of ICSH to be sold if the futures (or equivalent ETFs) drop by certain amount.
So how exactly do you determine when it auto sells ICSH? Is this something that is doable based on the value of the futures? Or are you having to esitmate based on ETFs (like IEF for ZN 10 year as an example). I'm trying to figure out the mechanics.
For one ZN futures, for $1 drop in IEF the future will loose under $1,200. So you can sell around 24 ICSH shares for $1 drop in IEF value.. This very approximate..

"Keep in mind: margin requirements are subject to change." This disclaimer is everywhere. Not sure how frequently this happens with Treasury futures..

muffins14
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by muffins14 » Mon Jan 13, 2020 2:11 am

Would one need to set up a type of ladder for these GTC order to protect various levels of loss, and then presumably create new ones each time one executed?

Additionally, I suppose you could also set up buy orders to reinvest your earnings on large “up” days?

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Vegomatic
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by Vegomatic » Mon Jan 13, 2020 11:59 am

caklim00 wrote:

"Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?"

Fidelity and Vanguard use their Mny Mkt funds for cash. Does either permit futures, etc...?

caklim00
Posts: 1994
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Mon Jan 13, 2020 6:02 pm

guyinlaw wrote:
Mon Jan 13, 2020 12:33 am
caklim00 wrote:
Sun Jan 12, 2020 10:35 pm
guyinlaw wrote:
Sun Jan 12, 2020 10:14 pm
caklim00 wrote:
Sat Jan 11, 2020 10:57 am

I hold inidvidual contracts and I haven't found a way to do this so I earn nothing on my cash balance I hold at IKBR Lite.

Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?
Schwab holds the margin on futures side -- 0.31% to 1.9% for Treasury and <5% for micro E-mini.

in the brokerage account I hold certain amount in ICSH, ultra short term bond fund. I do not hold much cash.

I have multiple contingent GTC trades set up for certain amounts of ICSH to be sold if the futures (or equivalent ETFs) drop by certain amount.
So how exactly do you determine when it auto sells ICSH? Is this something that is doable based on the value of the futures? Or are you having to esitmate based on ETFs (like IEF for ZN 10 year as an example). I'm trying to figure out the mechanics.
For one ZN futures, for $1 drop in IEF the future will loose under $1,200. So you can sell around 24 ICSH shares for $1 drop in IEF value.. This very approximate..

"Keep in mind: margin requirements are subject to change." This disclaimer is everywhere. Not sure how frequently this happens with Treasury futures..
Very cool. Probably a little too much management for me. But, a very cool idea. Perhaps I'll just set my notification thresholds a little higher on ikbr and then use some excess to manually buy/sell if some threshold has been met.

caklim00
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Mon Jan 13, 2020 6:04 pm

Vegomatic wrote:
Mon Jan 13, 2020 11:59 am
caklim00 wrote:

"Anyone know of a brokerage that gives decent interest on cash, allows purchase of futures, and doesn't charge monthly fees (like regular IKBR)?"

Fidelity and Vanguard use their Mny Mkt funds for cash. Does either permit futures, etc...?
Vanguard does options but not futures. Ally Invest is the same way doing options but not futures. I wonder why typically these firms offer options but not futures. If Vanguard did futures that would be :sharebeer

am
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by am » Tue Jan 14, 2020 12:37 pm

So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D

columbia
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by columbia » Tue Jan 14, 2020 1:12 pm

am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.

caklim00
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Tue Jan 14, 2020 3:29 pm

am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
You think :)

People on here are opening accounts so they can invest their entire IRAs in PSLDX. I see the merits of both sides. Long Term bonds surely can't run for much longer, can it? I don't have enough conviction so I'm just rolling a small amount of 10 Year treasury futures.

am
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by am » Tue Jan 14, 2020 3:30 pm

columbia wrote:
Tue Jan 14, 2020 1:12 pm
am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.
Seems to me a free lunch which does not exist. If it was so easy, I would expect this and other leveraged strategies to overtake existing ones. Assets and volume of this etf after more than a year are still low.

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willthrill81
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by willthrill81 » Tue Jan 14, 2020 3:48 pm

am wrote:
Tue Jan 14, 2020 3:30 pm
columbia wrote:
Tue Jan 14, 2020 1:12 pm
am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.
Seems to me a free lunch which does not exist. If it was so easy, I would expect this and other leveraged strategies to overtake existing ones. Assets and volume of this etf after more than a year are still low.
I think that at least elements of the risk parity approach are gaining momentum (no pun intended), but I'm not sure how to measure that.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

columbia
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by columbia » Tue Jan 14, 2020 4:52 pm

am wrote:
Tue Jan 14, 2020 3:30 pm
columbia wrote:
Tue Jan 14, 2020 1:12 pm
am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.
Seems to me a free lunch which does not exist. If it was so easy, I would expect this and other leveraged strategies to overtake existing ones. Assets and volume of this etf after more than a year are still low.
I don’t invest in NTSX, but Pimco PSLDX (very different strategy) has been impressive and that includes being around for all of 2008. Worth an analysis, if you haven’t looked at it.

To be clear, not for everyone and I don’t recommend anything to any other investor. :P

caklim00
Posts: 1994
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Tue Jan 14, 2020 9:18 pm

Since 2010, PSLDX is fairly similar to 100% ILTB, 100% SPY, -100% Cash. Its doing what its supposed to. It trails by about its ER if one assumes quarterly rebalancing.

Portfolio 1
Ticker Name Allocation
PSLDX PIMCO StocksPLUS Long Duration Instl 100.00%

Portfolio 2
Ticker Name Allocation
ILTB iShares Core 10+ Year USD Bond ETF 100.00%
SPY SPDR S&P 500 ETF Trust 100.00%
CASHX Cash -100.00%

Portfolio 1 $10,000 $66,980 20.95% 13.45% 52.60% -9.69% -13.86% 1.45 2.72 0.80
Portfolio 2 $10,000 $70,249 21.52% 13.33% 52.37% -11.10% -14.26% 1.50 2.81 0.76

drzzzzz
Posts: 458
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by drzzzzz » Tue Jan 14, 2020 9:46 pm

columbia wrote:
Tue Jan 14, 2020 4:52 pm
am wrote:
Tue Jan 14, 2020 3:30 pm
columbia wrote:
Tue Jan 14, 2020 1:12 pm
am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.
Seems to me a free lunch which does not exist. If it was so easy, I would expect this and other leveraged strategies to overtake existing ones. Assets and volume of this etf after more than a year are still low.
I don’t invest in NTSX, but Pimco PSLDX (very different strategy) has been impressive and that includes being around for all of 2008. Worth an analysis, if you haven’t looked at it.

To be clear, not for everyone and I don’t recommend anything to any other investor. :P
Can you clarify how PSLDX and NTSX are different in strategies and objectives? thanks

caklim00
Posts: 1994
Joined: Mon May 26, 2008 10:09 am

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by caklim00 » Tue Jan 14, 2020 10:18 pm

drzzzzz wrote:
Tue Jan 14, 2020 9:46 pm
columbia wrote:
Tue Jan 14, 2020 4:52 pm
am wrote:
Tue Jan 14, 2020 3:30 pm
columbia wrote:
Tue Jan 14, 2020 1:12 pm
am wrote:
Tue Jan 14, 2020 12:37 pm
So when will this fund disappoint versus a traditional 60 sp500/40 total bond?

I am a bit worried that we are in a frenzy as the us market has been going up and up, and the number of leveraged strategies on this forum is at all time highs. Sometimes I forget I am reading bogleheads :D
Nothing stopping one from holding 2/3 in this (as they claim that will get you to 60/40) and the rest in treasuries.
Seems to me a free lunch which does not exist. If it was so easy, I would expect this and other leveraged strategies to overtake existing ones. Assets and volume of this etf after more than a year are still low.
I don’t invest in NTSX, but Pimco PSLDX (very different strategy) has been impressive and that includes being around for all of 2008. Worth an analysis, if you haven’t looked at it.

To be clear, not for everyone and I don’t recommend anything to any other investor. :P
Can you clarify how PSLDX and NTSX are different in strategies and objectives? thanks
PSLDX is 100% S&P500, 100% Long Term Gov Bond, -100% Cash
NTSX is 90% S&P500, 60% Int Term Treasury (averaged), -50% Cash

at least thats my understanding

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firebirdparts
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by firebirdparts » Tue Jan 14, 2020 10:22 pm

One owns bonds and buys stock futures, and other owns stocks and buys bond futures. The bond portfolio of PSLDX is active and They’ve done a nice job with it. The bond durations are different as stated above.

The bond/leverage piece seems not to have added or detracted much from NTSX in its short history.
A fool and your money are soon partners

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