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

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

Post by caklim00 » Tue Jan 14, 2020 10:38 pm

firebirdparts wrote:
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.
I'm assuming by nice job you mean they've tracked less minus the ER?

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

Post by Gemini » Tue Jan 14, 2020 11:03 pm

I wonder why Fidelity does not offer PSLDX on its platform

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

Post by international001 » Wed Jan 15, 2020 5:14 pm

caklim00 wrote:
Tue Jan 14, 2020 10:18 pm

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
From morningstar, PSLDX is 100/150/-100

This would be a comparison between PSLDX and NTSX

https://www.portfoliovisualizer.com/bac ... tion4_2=60


But I guess, I'm wrong, because reducing the timeframe and adding PSLDX, PSLDX performs worse

https://www.portfoliovisualizer.com/bac ... ion5_3=100

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

Post by caklim00 » Wed Jan 15, 2020 6:04 pm

international001 wrote:
Wed Jan 15, 2020 5:14 pm
caklim00 wrote:
Tue Jan 14, 2020 10:18 pm

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
From morningstar, PSLDX is 100/150/-100

This would be a comparison between PSLDX and NTSX

https://www.portfoliovisualizer.com/bac ... tion4_2=60


But I guess, I'm wrong, because reducing the timeframe and adding PSLDX, PSLDX performs worse

https://www.portfoliovisualizer.com/bac ... ion5_3=100
Doesn't make sense. 100 + 150 - 100 = 150 How is that possible?

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

Post by columbia » Wed Jan 15, 2020 6:08 pm


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

Post by muffins14 » Wed Jan 15, 2020 6:12 pm

His entries in PV are actually 100/150/-150

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

Post by caklim00 » Wed Jan 15, 2020 10:26 pm

columbia wrote:
Wed Jan 15, 2020 6:08 pm
FT breaks it down well:

https://markets.ft.com/data/funds/tears ... ry?s=PSLDX
Makes sense. PSLDX has more leverage than I even thought.

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

Post by aristotelian » Wed Jan 15, 2020 10:32 pm

Gemini wrote:
Tue Jan 14, 2020 11:03 pm
I wonder why Fidelity does not offer PSLDX on its platform
Most investors are going to be a little short of the $1M minimum investment.

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

Post by Gemini » Wed Jan 15, 2020 11:23 pm

aristotelian wrote:
Wed Jan 15, 2020 10:32 pm
Gemini wrote:
Tue Jan 14, 2020 11:03 pm
I wonder why Fidelity does not offer PSLDX on its platform
Most investors are going to be a little short of the $1M minimum investment.
At Schwab, it is 100K

https://www.schwab.com/public/schwab/in ... ol%3dPSLDX

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

Post by international001 » Thu Jan 16, 2020 6:28 am

caklim00 wrote:
Wed Jan 15, 2020 10:26 pm
columbia wrote:
Wed Jan 15, 2020 6:08 pm
FT breaks it down well:

https://markets.ft.com/data/funds/tears ... ry?s=PSLDX
Makes sense. PSLDX has more leverage than I even thought.
YES.

Is it possible to buy PSLDX for a retail investor?

jubby288
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jubby288 » Thu Jan 16, 2020 6:46 am

Gemini wrote:
Wed Jan 15, 2020 11:23 pm
aristotelian wrote:
Wed Jan 15, 2020 10:32 pm
Gemini wrote:
Tue Jan 14, 2020 11:03 pm
I wonder why Fidelity does not offer PSLDX on its platform
Most investors are going to be a little short of the $1M minimum investment.
At Schwab, it is 100K

https://www.schwab.com/public/schwab/in ... ol%3dPSLDX
No minimum at TDA, but a $50 fee per purchase

jubby288
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jubby288 » Thu Jan 16, 2020 6:54 am

international001 wrote:
Wed Jan 15, 2020 5:14 pm
caklim00 wrote:
Tue Jan 14, 2020 10:18 pm

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
From morningstar, PSLDX is 100/150/-100

This would be a comparison between PSLDX and NTSX

https://www.portfoliovisualizer.com/bac ... tion4_2=60


But I guess, I'm wrong, because reducing the timeframe and adding PSLDX, PSLDX performs worse

https://www.portfoliovisualizer.com/bac ... ion5_3=100
In PV I use these ratios to approximate PSLDX, it's one of the portfolio benchmarks

100 SPY 100 ILTB -100 CASHX
Last edited by jubby288 on Thu Jan 16, 2020 8:16 am, edited 1 time in total.

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

Post by schismal » Thu Jan 16, 2020 7:20 am

The bond portion of PSLDX is complicated and is not simply long treasuries. The bond side is active and might be better modeled using something like PTTRX (although even that has a different ratio of holdings on the bond side).

Yes, it can be held without minimums at places like Ally and TDA. And it's only suitable for tax-advantaged accounts.

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

Post by columbia » Thu Jan 16, 2020 9:27 am

schismal wrote:
Thu Jan 16, 2020 7:20 am
The bond portion of PSLDX is complicated and is not simply long treasuries. The bond side is active and might be better modeled using something like PTTRX (although even that has a different ratio of holdings on the bond side).

Yes, it can be held without minimums at places like Ally and TDA. And it's only suitable for tax-advantaged accounts.
I have used BLV; that’s not dead on, but it’s close.

Splitting long treasuries and long corporate would be more accurate?

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

Post by firebirdparts » Thu Jan 16, 2020 10:00 am

There was a lot of discussion about precise models of PSLDX in the great adventure thread, and I will just mention from that you can go back to 1985 in PV by substituting the ETFs out for old mutual funds. It is reasonably close to 100 VFINX -100 CashX and 100 VWESX. This is pretty much dead on during the life of PSLDX. I don't take any responsibility for what might have changed about VWESX over the years, though.

I never made any effort to find the best bond fund for NTSX (I mean, not that I could). I just took 5 minutes here, and using VFITX as the intermediate treasury fund, you can model back to November 1991.
A fool and your money are soon partners

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

Post by klaus14 » Thu Jan 16, 2020 3:03 pm

firebirdparts wrote:
Thu Jan 16, 2020 10:00 am
There was a lot of discussion about precise models of PSLDX in the great adventure thread, and I will just mention from that you can go back to 1985 in PV by substituting the ETFs out for old mutual funds. It is reasonably close to 100 VFINX -100 CashX and 100 VWESX. This is pretty much dead on during the life of PSLDX. I don't take any responsibility for what might have changed about VWESX over the years, though.

I never made any effort to find the best bond fund for NTSX (I mean, not that I could). I just took 5 minutes here, and using VFITX as the intermediate treasury fund, you can model back to November 1991.
This makes sense because it's also fund's secondary benchmark:
S&P 500 Index + Bloomberg Barclays Long-Term Government/Credit Index - 3 Month LIBOR

I am not yet switching from NTSX because:
- High expense ratio (0.59%)
- Credit exposure (instead of pure treasuries)
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

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

Post by Huygens » Sat Jan 18, 2020 1:08 am

whodidntante wrote:
Wed Jan 08, 2020 11:00 pm
klaus14 wrote:
Sat Dec 21, 2019 6:10 pm
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.
Could klaus14 or whodidntante elaborate as to why the effective duration would increase to ~60 years?

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

Post by klaus14 » Sat Jan 18, 2020 2:00 am

Huygens wrote:
Sat Jan 18, 2020 1:08 am
whodidntante wrote:
Wed Jan 08, 2020 11:00 pm
klaus14 wrote:
Sat Dec 21, 2019 6:10 pm
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.
Could klaus14 or whodidntante elaborate as to why the effective duration would increase to ~60 years?
NTSX has 6x leverage on its 10% through future contracts. Average duration of these are around 10 years, with 6x it's like 60 years. That is: if interest rates moves 1% down, this portion will move 60% up (if stocks part doesn't move, your $100 NTSX will be worth $106)

Of course these are approximations. We assume yield curve shape doesn't change. A more realistic representation would be:
$90 of stock + $12 2y bond + $12 5y bond + $24 10y bond + $12 30y bond - $50 T-Bill (minus Expense Ratio)
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

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

Post by danielc » Sun Jan 19, 2020 5:21 pm

whodidntante wrote:
Wed Aug 08, 2018 7:59 pm
I don't see the mystery. Here's my hack explanation for what the fund is doing. It would be better if I were twelve.

It owns 90% large cap stocks.
It has 10% invested in cash.
It has 60% notional exposure in a mix of 2, 5, 10, and 30-year Treasury futures contracts. This is the source of the leverage, and I think this is the part that is confusing people. But notional exposure is just a fancy way to say the exposure you bought with the futures contracts.

The cash is acting as collateral for the futures.
How hard would it be for a regular investor to do this himself? Can I put 90% of my portfolio in my favourite equity index funds and use the remaining 10% as collateral for 5-year Treasury futures in place of a bond allocation? Or is this something that's not practical for mere mortals?

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

Post by whodidntante » Sun Jan 19, 2020 5:35 pm

danielc wrote:
Sun Jan 19, 2020 5:21 pm
whodidntante wrote:
Wed Aug 08, 2018 7:59 pm
I don't see the mystery. Here's my hack explanation for what the fund is doing. It would be better if I were twelve.

It owns 90% large cap stocks.
It has 10% invested in cash.
It has 60% notional exposure in a mix of 2, 5, 10, and 30-year Treasury futures contracts. This is the source of the leverage, and I think this is the part that is confusing people. But notional exposure is just a fancy way to say the exposure you bought with the futures contracts.

The cash is acting as collateral for the futures.
How hard would it be for a regular investor to do this himself? Can I put 90% of my portfolio in my favourite equity index funds and use the remaining 10% as collateral for 5-year Treasury futures in place of a bond allocation? Or is this something that's not practical for mere mortals?
Yes, it's practical, though I would suggest the simplification of investing only in one type of contract. One consideration for individual investors is that you probably aren't pushing enough chips around to be able to post T-bills as collateral. So you're going to have a cash drag that the fund doesn't have.

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

Post by klaus14 » Sun Jan 19, 2020 5:54 pm

whodidntante wrote:
Sun Jan 19, 2020 5:35 pm
danielc wrote:
Sun Jan 19, 2020 5:21 pm
whodidntante wrote:
Wed Aug 08, 2018 7:59 pm
I don't see the mystery. Here's my hack explanation for what the fund is doing. It would be better if I were twelve.

It owns 90% large cap stocks.
It has 10% invested in cash.
It has 60% notional exposure in a mix of 2, 5, 10, and 30-year Treasury futures contracts. This is the source of the leverage, and I think this is the part that is confusing people. But notional exposure is just a fancy way to say the exposure you bought with the futures contracts.

The cash is acting as collateral for the futures.
How hard would it be for a regular investor to do this himself? Can I put 90% of my portfolio in my favourite equity index funds and use the remaining 10% as collateral for 5-year Treasury futures in place of a bond allocation? Or is this something that's not practical for mere mortals?
Yes, it's practical, though I would suggest the simplification of investing only in one type of contract. One consideration for individual investors is that you probably aren't pushing enough chips around to be able to post T-bills as collateral. So you're going to have a cash drag that the fund doesn't have.
wouldn't broker allow you to hold that idle cash in a money market fund (like Vanguard does). Then it's not so bad.
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

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

Post by whodidntante » Sun Jan 19, 2020 6:04 pm

klaus14 wrote:
Sun Jan 19, 2020 5:54 pm
whodidntante wrote:
Sun Jan 19, 2020 5:35 pm
danielc wrote:
Sun Jan 19, 2020 5:21 pm
whodidntante wrote:
Wed Aug 08, 2018 7:59 pm
I don't see the mystery. Here's my hack explanation for what the fund is doing. It would be better if I were twelve.

It owns 90% large cap stocks.
It has 10% invested in cash.
It has 60% notional exposure in a mix of 2, 5, 10, and 30-year Treasury futures contracts. This is the source of the leverage, and I think this is the part that is confusing people. But notional exposure is just a fancy way to say the exposure you bought with the futures contracts.

The cash is acting as collateral for the futures.
How hard would it be for a regular investor to do this himself? Can I put 90% of my portfolio in my favourite equity index funds and use the remaining 10% as collateral for 5-year Treasury futures in place of a bond allocation? Or is this something that's not practical for mere mortals?
Yes, it's practical, though I would suggest the simplification of investing only in one type of contract. One consideration for individual investors is that you probably aren't pushing enough chips around to be able to post T-bills as collateral. So you're going to have a cash drag that the fund doesn't have.
wouldn't broker allow you to hold that idle cash in a money market fund (like Vanguard does). Then it's not so bad.
To trade futures you're looking at TDA, IB, Tastyworks, or Schwab. Of those, only IB had decent cash rates, and only at 10k and above. IB will also let you post T-bills as collateral at a certain level, but I wouldn't bother asking until your collateral requirement gets to 100k unless you enjoy being laughed at.

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

Post by caklim00 » Sun Jan 19, 2020 8:43 pm

whodidntante wrote:
Sun Jan 19, 2020 6:04 pm
klaus14 wrote:
Sun Jan 19, 2020 5:54 pm
whodidntante wrote:
Sun Jan 19, 2020 5:35 pm
danielc wrote:
Sun Jan 19, 2020 5:21 pm
whodidntante wrote:
Wed Aug 08, 2018 7:59 pm
I don't see the mystery. Here's my hack explanation for what the fund is doing. It would be better if I were twelve.

It owns 90% large cap stocks.
It has 10% invested in cash.
It has 60% notional exposure in a mix of 2, 5, 10, and 30-year Treasury futures contracts. This is the source of the leverage, and I think this is the part that is confusing people. But notional exposure is just a fancy way to say the exposure you bought with the futures contracts.

The cash is acting as collateral for the futures.
How hard would it be for a regular investor to do this himself? Can I put 90% of my portfolio in my favourite equity index funds and use the remaining 10% as collateral for 5-year Treasury futures in place of a bond allocation? Or is this something that's not practical for mere mortals?
Yes, it's practical, though I would suggest the simplification of investing only in one type of contract. One consideration for individual investors is that you probably aren't pushing enough chips around to be able to post T-bills as collateral. So you're going to have a cash drag that the fund doesn't have.
wouldn't broker allow you to hold that idle cash in a money market fund (like Vanguard does). Then it's not so bad.
To trade futures you're looking at TDA, IB, Tastyworks, or Schwab. Of those, only IB had decent cash rates, and only at 10k and above. IB will also let you post T-bills as collateral at a certain level, but I wouldn't bother asking until your collateral requirement gets to 100k unless you enjoy being laughed at.
IB also has to be a full account, not Lite. I have Lite and have been using it for a few ZN futures but I'm always open to alternatives. I think during my initial research I found a broker that would roll T-bills but there were fees associated with it. At the small margin requirements I have its not even worth it.

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

Post by rascott » Sun Jan 19, 2020 8:49 pm

caklim00 wrote:
Wed Jan 15, 2020 10:26 pm
columbia wrote:
Wed Jan 15, 2020 6:08 pm
FT breaks it down well:

https://markets.ft.com/data/funds/tears ... ry?s=PSLDX
Makes sense. PSLDX has more leverage than I even thought.

I don't think it's accurate.

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

Post by MotoTrojan » Mon Jan 20, 2020 8:53 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.
What was your VTSAX taxable gain? Interesting move.

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

Post by unknownfuture » Mon Jan 20, 2020 10:01 am

MotoTrojan wrote:
Mon Jan 20, 2020 8:53 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.
What was your VTSAX taxable gain? Interesting move.
Only 15% LTCG, and there's a year left of potential TLH opportunities. And long-term I expect NTSX to outperform VTSAX.

The efficient market hypothesis leads some people to believe that the market is like a memory-free Markov chain. This is not true. In a perfectly efficient market, only the first moments (expected returns) will be hard or impossible to predict. However, the second moments (variances and covariances) of securities may show predictability, and there's overwhelming empirical evidence that they can indeed be predicted fairly well from historical data. (Just look at the asset correlation graphs at portfoliovisualizer). For this reason, I do believe that holding anticorrelated assets together (plus some minor leverage) is the right thing to do.
Last edited by unknownfuture on Mon Jan 20, 2020 10:08 am, edited 4 times in total.

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

Post by PluckyDucky » Mon Jan 20, 2020 10:04 am

Has anyone played around with the charts on portfoliocharts.com for NTSX? You can't pick the fund exactly, but you can do 90% TSM, 60% IT, -50% Cash or BIL.

Image
Image

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

Post by caklim00 » Mon Jan 20, 2020 10:30 am

unknownfuture wrote:
Mon Jan 20, 2020 10:01 am
MotoTrojan wrote:
Mon Jan 20, 2020 8:53 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.
What was your VTSAX taxable gain? Interesting move.
Only 15% LTCG, and there's a year left of potential TLH opportunities. And long-term I expect NTSX to outperform VTSAX.

The efficient market hypothesis leads some people to believe that the market is like a memory-free Markov chain. This is not true. In a perfectly efficient market, only the first moments (expected returns) will be hard or impossible to predict. However, the second moments (variances and covariances) of securities may show predictability, and there's overwhelming empirical evidence that they can indeed be predicted fairly well from historical data. (Just look at the asset correlation graphs at portfoliovisualizer). For this reason, I do believe that holding anticorrelated assets together (plus some minor leverage) is the right thing to do.
Just curious why you didn't just keep VTSAX and buy 2 ZN 10 year Futures contracts (or 1 5 year and 1 10 Year)?

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

Post by firebirdparts » Mon Jan 20, 2020 10:31 am

Cool. It never occurred to me to put negative numbers into Portfoliocharts.
A fool and your money are soon partners

jubby288
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by jubby288 » Mon Jan 20, 2020 10:47 am

rascott wrote:
Sun Jan 19, 2020 8:49 pm
caklim00 wrote:
Wed Jan 15, 2020 10:26 pm
columbia wrote:
Wed Jan 15, 2020 6:08 pm
FT breaks it down well:

https://markets.ft.com/data/funds/tears ... ry?s=PSLDX
Makes sense. PSLDX has more leverage than I even thought.

I don't think it's accurate.
I didn't think so either

JB

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Portfolio7
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Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Post by Portfolio7 » Mon Jan 20, 2020 11:01 am

PluckyDucky wrote:
Mon Jan 20, 2020 10:04 am
Has anyone played around with the charts on portfoliocharts.com for NTSX? You can't pick the fund exactly, but you can do 90% TSM, 60% IT, -50% Cash or BIL.
NTSX has a very short history, so any conclusions one draws from it's performance are highly suspect, but I think it is interesting to note what has happened so far.

I may not be looking at this right, but Portfolio Charts doesn't seem to show a great advantage of, say, having held NTSX vs SPY, except that short term returns have been (should be?) more predictable. Portfolio Visualizer seems to indicate though that NTSX has been a more efficient portfolio that has slightly beaten the S&P with reduced volatility. It has had higher volatility (and return) vs a 60/40 portfolio (Spy/VBTLX). So far, NTSX Std Dev and drawdowns put it perhaps equivalent to an 80/20 portfolio in volatility over the past year.)
"An investment in knowledge pays the best interest" - Benjamin Franklin

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

Post by unknownfuture » Mon Jan 20, 2020 11:37 am

caklim00 wrote:
Mon Jan 20, 2020 10:30 am
Just curious why you didn't just keep VTSAX and buy 2 ZN 10 year Futures contracts (or 1 5 year and 1 10 Year)?
Because that doesn't do automatic tax-efficient rebalancing, like NTSX does.

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

Post by MotoTrojan » Mon Jan 20, 2020 12:07 pm

unknownfuture wrote:
Mon Jan 20, 2020 10:01 am
MotoTrojan wrote:
Mon Jan 20, 2020 8:53 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.
What was your VTSAX taxable gain? Interesting move.
Only 15% LTCG, and there's a year left of potential TLH opportunities. And long-term I expect NTSX to outperform VTSAX.

The efficient market hypothesis leads some people to believe that the market is like a memory-free Markov chain. This is not true. In a perfectly efficient market, only the first moments (expected returns) will be hard or impossible to predict. However, the second moments (variances and covariances) of securities may show predictability, and there's overwhelming empirical evidence that they can indeed be predicted fairly well from historical data. (Just look at the asset correlation graphs at portfoliovisualizer). For this reason, I do believe that holding anticorrelated assets together (plus some minor leverage) is the right thing to do.
I could see your justification for a 100% equity plus leveraged bond exposure outperforming, such as PSLDX (I prefer pure treasuries though) but at 90% equity and current bond yields I would bet against you here. On a risk-adjusted basis though, sure.

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

Post by unknownfuture » Mon Jan 20, 2020 12:48 pm

MotoTrojan wrote:
Mon Jan 20, 2020 12:07 pm
I could see your justification for a 100% equity plus leveraged bond exposure outperforming, such as PSLDX (I prefer pure treasuries though) but at 90% equity and current bond yields I would bet against you here. On a risk-adjusted basis though, sure.
Even if PSLDX was tax-efficient, I would personally not be very comfortable holding a large amount of it, due to (1) too much leverage for my taste and (2) the possibility of inflationary scenarios that would wipe out bond returns. Stocks do OK with inflation in the long run. NTSX is a nice middle ground IMHO. Not too leveraged, not too much bonds. And very tax-efficient. I like it.

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

Post by caklim00 » Mon Jan 20, 2020 2:21 pm

unknownfuture wrote:
Mon Jan 20, 2020 11:37 am
caklim00 wrote:
Mon Jan 20, 2020 10:30 am
Just curious why you didn't just keep VTSAX and buy 2 ZN 10 year Futures contracts (or 1 5 year and 1 10 Year)?
Because that doesn't do automatic tax-efficient rebalancing, like NTSX does.
Got it. Makes sense. I'm just including the futures in my bond allocation and then using my 401k to rebalance. Guess it accompishes the same thing. I will eventually add another contract if/when my portfolio gets bigger. My goal is to hold more in actual bonds than futures. Why, because I don't know if this will blow up in my face or not. If there were a SCV or multifactor fund that did something like NTSX I'd be all over it. I would definitely regret if I gave up some of my tilt and then there was a reversion for Small and/or Value. I do like how NTSX spreads futures across the 2, 5, 10, Ultra 10, and bond. I just did 10 to call it a day since it seems close enough.

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

Post by MotoTrojan » Mon Jan 20, 2020 4:39 pm

unknownfuture wrote:
Mon Jan 20, 2020 12:48 pm
MotoTrojan wrote:
Mon Jan 20, 2020 12:07 pm
I could see your justification for a 100% equity plus leveraged bond exposure outperforming, such as PSLDX (I prefer pure treasuries though) but at 90% equity and current bond yields I would bet against you here. On a risk-adjusted basis though, sure.
Even if PSLDX was tax-efficient, I would personally not be very comfortable holding a large amount of it, due to (1) too much leverage for my taste and (2) the possibility of inflationary scenarios that would wipe out bond returns. Stocks do OK with inflation in the long run. NTSX is a nice middle ground IMHO. Not too leveraged, not too much bonds. And very tax-efficient. I like it.
I’m with you. I plan to add NTSX in the future but 100% equity for now. Pimco does offer lower duration funds though, but still not applicable for a taxable account.

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

Post by danielc » Mon Jan 20, 2020 7:10 pm

caklim00 wrote:
Tue Oct 01, 2019 10:25 am
So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?

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

Post by klaus14 » Mon Jan 20, 2020 7:17 pm

danielc wrote:
Mon Jan 20, 2020 7:10 pm
caklim00 wrote:
Tue Oct 01, 2019 10:25 am
So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
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

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

Post by danielc » Mon Jan 20, 2020 7:36 pm

klaus14 wrote:
Mon Jan 20, 2020 7:17 pm
danielc wrote:
Mon Jan 20, 2020 7:10 pm
caklim00 wrote:
Tue Oct 01, 2019 10:25 am
So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
Sure... but does it serve the same role as TMF equally well?

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

Post by klaus14 » Mon Jan 20, 2020 7:39 pm

danielc wrote:
Mon Jan 20, 2020 7:36 pm
klaus14 wrote:
Mon Jan 20, 2020 7:17 pm
danielc wrote:
Mon Jan 20, 2020 7:10 pm
caklim00 wrote:
Tue Oct 01, 2019 10:25 am
So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
Sure... but does it serve the same role as TMF equally well?
not equally. it provides less leverage. you could do NTSX + EDV as a poor man's hedgefundie.
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

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

Post by MotoTrojan » Mon Jan 20, 2020 8:08 pm

danielc wrote:
Mon Jan 20, 2020 7:36 pm
klaus14 wrote:
Mon Jan 20, 2020 7:17 pm
danielc wrote:
Mon Jan 20, 2020 7:10 pm
caklim00 wrote:
Tue Oct 01, 2019 10:25 am
So, I'm highly considering using this fund. My current strategy is 85/15 Equity/Bonds split. 50/50 US/Intl for equity split. And tilt as hard to SCV(or multifactor as possible given 401k/403b constraints). I also have a very small portion in the hedgefundie (EDV/UPRO now) at M1 but I've just excluded this from analysis since I don't want that to muck things up to much.
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
Sure... but does it serve the same role as TMF equally well?
With less leverage, yes. I used 43/57 UPRP/EDV for a bit which is similar to hedge’s 55/45 UPRP/TMF with less overall leverage.

EDV also has no volatility decay which kills TMF in a flat or rising rate environment.

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

Post by danielc » Mon Jan 20, 2020 9:37 pm

MotoTrojan wrote:
Mon Jan 20, 2020 8:08 pm
danielc wrote:
Mon Jan 20, 2020 7:36 pm
klaus14 wrote:
Mon Jan 20, 2020 7:17 pm
danielc wrote:
Mon Jan 20, 2020 7:10 pm
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
Sure... but does it serve the same role as TMF equally well?
With less leverage, yes. I used 43/57 UPRP/EDV for a bit which is similar to hedge’s 55/45 UPRP/TMF with less overall leverage.

EDV also has no volatility decay which kills TMF in a flat or rising rate environment.
Ok. I can think of 43/57 UPRO/EDV as a less leveraged version of 55/45 UPRO/TMF. The UPRO/EDV portfolio behaves more or less like 75% of the UPRO/TMF portfolio (PV link).

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

Post by MotoTrojan » Mon Jan 20, 2020 9:42 pm

danielc wrote:
Mon Jan 20, 2020 9:37 pm
MotoTrojan wrote:
Mon Jan 20, 2020 8:08 pm
danielc wrote:
Mon Jan 20, 2020 7:36 pm
klaus14 wrote:
Mon Jan 20, 2020 7:17 pm
danielc wrote:
Mon Jan 20, 2020 7:10 pm
I'm currently thinking of putting some money in the hedgefundie portfolio. What's the advantage of EDV over TMF?
cheap.
Sure... but does it serve the same role as TMF equally well?
With less leverage, yes. I used 43/57 UPRP/EDV for a bit which is similar to hedge’s 55/45 UPRP/TMF with less overall leverage.

EDV also has no volatility decay which kills TMF in a flat or rising rate environment.
Ok. I can think of 43/57 UPRO/EDV as a less leveraged version of 55/45 UPRO/TMF. The UPRO/EDV portfolio behaves more or less like 75% of the UPRO/TMF portfolio (PV link).
Yes. 78% of the leverage, but that doesn’t mean only 78% of the return.

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

Post by danielc » Mon Jan 20, 2020 10:12 pm

MotoTrojan wrote:
Mon Jan 20, 2020 9:42 pm
danielc wrote:
Mon Jan 20, 2020 9:37 pm
MotoTrojan wrote:
Mon Jan 20, 2020 8:08 pm
With less leverage, yes. I used 43/57 UPRP/EDV for a bit which is similar to hedge’s 55/45 UPRP/TMF with less overall leverage.

EDV also has no volatility decay which kills TMF in a flat or rising rate environment.
Ok. I can think of 43/57 UPRO/EDV as a less leveraged version of 55/45 UPRO/TMF. The UPRO/EDV portfolio behaves more or less like 75% of the UPRO/TMF portfolio (PV link).
Yes. 78% of the leverage, but that doesn’t mean only 78% of the return.
In the link that I gave, it does have roughly 78% of the CAGR.

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

Post by MotoTrojan » Mon Jan 20, 2020 10:34 pm

danielc wrote:
Mon Jan 20, 2020 10:12 pm
MotoTrojan wrote:
Mon Jan 20, 2020 9:42 pm
danielc wrote:
Mon Jan 20, 2020 9:37 pm
MotoTrojan wrote:
Mon Jan 20, 2020 8:08 pm
With less leverage, yes. I used 43/57 UPRP/EDV for a bit which is similar to hedge’s 55/45 UPRP/TMF with less overall leverage.

EDV also has no volatility decay which kills TMF in a flat or rising rate environment.
Ok. I can think of 43/57 UPRO/EDV as a less leveraged version of 55/45 UPRO/TMF. The UPRO/EDV portfolio behaves more or less like 75% of the UPRO/TMF portfolio (PV link).
Yes. 78% of the leverage, but that doesn’t mean only 78% of the return.
In the link that I gave, it does have roughly 78% of the CAGR.
Pure coincidence.

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

Post by danielc » Mon Jan 20, 2020 10:42 pm

MotoTrojan wrote:
Mon Jan 20, 2020 10:34 pm
danielc wrote:
Mon Jan 20, 2020 10:12 pm
MotoTrojan wrote:
Mon Jan 20, 2020 9:42 pm
Yes. 78% of the leverage, but that doesn’t mean only 78% of the return.
In the link that I gave, it does have roughly 78% of the CAGR.
Pure coincidence.
Could you elaborate? What sort of return do you expect from the UPRO/EDV portfolio relative to the UPRO/TMF portfolio? How do you figure it out? One problem with all daily-rebalanced ETFs is that you can't easily predict the Stdev or return. Has anyone done backtests to see what UPRO/EDV normally does?

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

Post by mr.masku » Mon Jan 20, 2020 10:57 pm

I am concerned about the long duration of the bond portion of NTSX. Given interest rates are currently very low (by historical standards), I would have preferred to own lower-duration bonds. Anyone else concerned about this?

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

Post by MotoTrojan » Mon Jan 20, 2020 11:11 pm

mr.masku wrote:
Mon Jan 20, 2020 10:57 pm
I am concerned about the long duration of the bond portion of NTSX. Given interest rates are currently very low (by historical standards), I would have preferred to own lower-duration bonds. Anyone else concerned about this?
By the same token, aren’t you concerned about holding equities at market highs? Timing bonds is as hard, if not harder, than equities. So no, not concerned. The duration of NTSX isn’t very high overall either; TMF at 60% certainly is.

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

Post by MotoTrojan » Mon Jan 20, 2020 11:18 pm

danielc wrote:
Mon Jan 20, 2020 10:42 pm
MotoTrojan wrote:
Mon Jan 20, 2020 10:34 pm
danielc wrote:
Mon Jan 20, 2020 10:12 pm
MotoTrojan wrote:
Mon Jan 20, 2020 9:42 pm
Yes. 78% of the leverage, but that doesn’t mean only 78% of the return.
In the link that I gave, it does have roughly 78% of the CAGR.
Pure coincidence.
Could you elaborate? What sort of return do you expect from the UPRO/EDV portfolio relative to the UPRO/TMF portfolio? How do you figure it out? One problem with all daily-rebalanced ETFs is that you can't easily predict the Stdev or return. Has anyone done backtests to see what UPRO/EDV normally does?
Volatility on both bonds and equity will impact the returns. More leverage isn’t always better, so there is no reason for the returns to be directly proportional to the leverage ratio.

There have been excellent posts on expected return of S&P500 vs. this strategy which I would suggest you dig up, but the spread on possibilities is very high so don’t put too much weight on expected return. FWIW I decided the “academic” expected return for either wasn’t worth the risk, for me, so I’m using other investments (factor tilts) to boost my expected return, but I think either allocation has merits. I don’t think >20% CAGR is realistic without higher than historical/expected S&P500 returns and lots of risk. If bonds drop to -5% then congrats on a successful gamble.

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

Post by mr.masku » Mon Jan 20, 2020 11:29 pm

MotoTrojan wrote:
Mon Jan 20, 2020 11:11 pm
mr.masku wrote:
Mon Jan 20, 2020 10:57 pm
I am concerned about the long duration of the bond portion of NTSX. Given interest rates are currently very low (by historical standards), I would have preferred to own lower-duration bonds. Anyone else concerned about this?
By the same token, aren’t you concerned about holding equities at market highs? Timing bonds is as hard, if not harder, than equities. So no, not concerned. The duration of NTSX isn’t very high overall either; TMF at 60% certainly is.
"Average effective duration for the fixed-income portion of NTSX will typically be 7–7.5 years"
https://www.wisdomtree.com/-/media/us-m ... sx_faq.pdf

So is 7–7.5 years the actual effective duration, or is it 6x that, so 42-45 years?

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