WisdomTree 90/60 U.S. Balanced Fund [NTSX]

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HEDGEFUNDIE
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by HEDGEFUNDIE » Wed Mar 18, 2020 1:33 am

lexor wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
HawkeyePierce wrote:
Tue Mar 17, 2020 11:16 pm
YTD:

NTSX: -13.2%

USMV: -17.0%

VOO: -22.3%

Alternate strategies having their day in the sun so far in 2020.
Don't forget SWAN -3.2%
What about TMF+UPRO YTD?
TMF up 35%
UPRO down 61%

Mix and match to your heart's content.

HEDGEFUNDIE
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by HEDGEFUNDIE » Wed Mar 18, 2020 1:34 am

DonIce wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
Don't forget SWAN -3.2%
I was just looking at that recently. What are your thoughts on SWAN vs NTSX (in general, not just in the context of the current downswing)?

NTSX is effectively 90/60, while SWAN's target exposure is 70/90. SWAN's ratio is certainly closer to risk parity. However, holding long calls on SPY seems like a higher cost strategy than holding treasury futures. Any thoughts on if SWAN will be able to approximate the returns of a 70/90 strategy with comparable fidelity as NTSX has been approximating the returns of 90/60?
If I were a retiree I would be 100% SWAN

If I were an accumulator I would be 100% NTSX in taxable

MoneyMarathon
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by MoneyMarathon » Wed Mar 18, 2020 1:51 am

DonIce wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
Don't forget SWAN -3.2%
I was just looking at that recently. What are your thoughts on SWAN vs NTSX (in general, not just in the context of the current downswing)?

NTSX is effectively 90/60, while SWAN's target exposure is 70/90. SWAN's ratio is certainly closer to risk parity. However, holding long calls on SPY seems like a higher cost strategy than holding treasury futures. Any thoughts on if SWAN will be able to approximate the returns of a 70/90 strategy with comparable fidelity as NTSX has been approximating the returns of 90/60?
The minor "tail risk" of SWAN shows up in an L-shaped bear market. This is the difference between options exposure and shares. With shares, you ripped the bandaid off all at once simply from the price change (delta), and you get it all back no matter when the price comes back. With options, in the absence of price changes, you pay for theta, which is basically the lost value from having options become closer to expiration. As they do so and as they expire (sometimes worthless), new options are purchased. It's a different strategy, and it's great when the stock market becomes more volatile than before, because you either win big or have limited downside.

SWAN has a higher expense ratio and needs to pay premiums on the S&P 500. Its worst case is a sideways or slowly moving stock market, because then all the premiums are just drag on what is otherwise a bond portfolio. Its second worst case in a taxable account is a bull market, in the sense that it's more tax efficient to get those gains in shares where you get to defer capital gains indefinitely. Its best case is being prepared for a bear market, due to the downside protection of getting leveraged exposure through call options (worst case no matter what is expiring worthless no matter how far the market falls), so it's working as advertised.

Uncorrelated
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by Uncorrelated » Wed Mar 18, 2020 2:19 am

SWAN is essentially an options play that is short the total market and long the premium. Rather than buying SWAN to offset a portfolio with high equities, it's a better idea to buy less equities in the first place.

I don't understand how this ETF is being taken seriously at all. Option plays like this are just gambling.

EDIT: that's wrong. I was thinking of TAIL which is short total market, SWAN is long total market. Still, that doesn't change the conclusion that option plays are gambling.
Last edited by Uncorrelated on Wed Mar 18, 2020 2:27 am, edited 1 time in total.

lexor
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by lexor » Wed Mar 18, 2020 2:26 am

HEDGEFUNDIE wrote:
Wed Mar 18, 2020 1:34 am
DonIce wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
Don't forget SWAN -3.2%
I was just looking at that recently. What are your thoughts on SWAN vs NTSX (in general, not just in the context of the current downswing)?

NTSX is effectively 90/60, while SWAN's target exposure is 70/90. SWAN's ratio is certainly closer to risk parity. However, holding long calls on SPY seems like a higher cost strategy than holding treasury futures. Any thoughts on if SWAN will be able to approximate the returns of a 70/90 strategy with comparable fidelity as NTSX has been approximating the returns of 90/60?
If I were a retiree I would be 100% SWAN

If I were an accumulator I would be 100% NTSX in taxable
SWAN is awfully high expense ratio though :( is there a simulated back-test for SWAN? Wouldn't be hard to add expense ratio drag and see how it does. It's a very new fund.

EDIT: Would this be a good simulated SWAN: https://www.portfoliovisualizer.com/bac ... ion4_2=100

Has anyone looked at NTSX in taxable? I have a lot of NTSX but I could buy a lot more if I chose to do it in taxable. Seems like a big decision though since it's expensive to change.
Uncorrelated wrote:
Wed Mar 18, 2020 2:19 am
SWAN is essentially an options play that is short the total market and long the premium. Rather than buying SWAN to offset a portfolio with high equities, it's a better idea to buy less equities in the first place.

I don't understand how this ETF is being taken seriously at all. Option plays like this are just gambling.
Would you say the same thing of NTSX? In what way are you saying SWAN is gambling?

I will say I think the US (and even more so for most other countries) needs to get debt under control and this virus is derailing the attempts to do so.
Last edited by lexor on Wed Mar 18, 2020 2:34 am, edited 2 times in total.
“The miracle of compounding returns is overwhelmed by the tyranny of compounding costs.” -Mr. John C. Bogle

HawkeyePierce
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by HawkeyePierce » Wed Mar 18, 2020 10:14 am

SWAN may be interesting but I agree it's probably a poor choice for an accumulator. Given it's high ER I'm not sure it's a good choice for *anyone*. I'd rather just hold more EDV (I was at 15% EDV before the crash).

I'm now splitting my US equity exposure between NTSX, ACWV (global min vol) and VIOV (US small cap value). VIOV has taken the biggest hit but oh well. I'll just leave it there.

lexor
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by lexor » Wed Mar 18, 2020 11:03 am

HEDGEFUNDIE wrote:
Wed Mar 18, 2020 1:34 am
DonIce wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
Don't forget SWAN -3.2%
I was just looking at that recently. What are your thoughts on SWAN vs NTSX (in general, not just in the context of the current downswing)?

NTSX is effectively 90/60, while SWAN's target exposure is 70/90. SWAN's ratio is certainly closer to risk parity. However, holding long calls on SPY seems like a higher cost strategy than holding treasury futures. Any thoughts on if SWAN will be able to approximate the returns of a 70/90 strategy with comparable fidelity as NTSX has been approximating the returns of 90/60?
If I were a retiree I would be 100% SWAN

If I were an accumulator I would be 100% NTSX in taxable
Does it concern you that 7-10 year treasuries are dropping with stocks today (albeit slightly)? (presumably because of large government spending?)
“The miracle of compounding returns is overwhelmed by the tyranny of compounding costs.” -Mr. John C. Bogle

guyinlaw
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by guyinlaw » Wed Mar 18, 2020 11:17 am

2Y and 5Y futures are slightly up. 7-30Y all are down. NTSX is down around same as SPY.

Today is tough day for risk parity as well.
UPRO/TMF down -20/-10%

Uncorrelated
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by Uncorrelated » Wed Mar 18, 2020 1:44 pm

lexor wrote:
Wed Mar 18, 2020 2:26 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 1:34 am
DonIce wrote:
Wed Mar 18, 2020 1:28 am
HEDGEFUNDIE wrote:
Wed Mar 18, 2020 12:54 am
Don't forget SWAN -3.2%
I was just looking at that recently. What are your thoughts on SWAN vs NTSX (in general, not just in the context of the current downswing)?

NTSX is effectively 90/60, while SWAN's target exposure is 70/90. SWAN's ratio is certainly closer to risk parity. However, holding long calls on SPY seems like a higher cost strategy than holding treasury futures. Any thoughts on if SWAN will be able to approximate the returns of a 70/90 strategy with comparable fidelity as NTSX has been approximating the returns of 90/60?
If I were a retiree I would be 100% SWAN

If I were an accumulator I would be 100% NTSX in taxable
SWAN is awfully high expense ratio though :( is there a simulated back-test for SWAN? Wouldn't be hard to add expense ratio drag and see how it does. It's a very new fund.

EDIT: Would this be a good simulated SWAN: https://www.portfoliovisualizer.com/bac ... ion4_2=100

Has anyone looked at NTSX in taxable? I have a lot of NTSX but I could buy a lot more if I chose to do it in taxable. Seems like a big decision though since it's expensive to change.
Uncorrelated wrote:
Wed Mar 18, 2020 2:19 am
SWAN is essentially an options play that is short the total market and long the premium. Rather than buying SWAN to offset a portfolio with high equities, it's a better idea to buy less equities in the first place.

I don't understand how this ETF is being taken seriously at all. Option plays like this are just gambling.
Would you say the same thing of NTSX? In what way are you saying SWAN is gambling?

I will say I think the US (and even more so for most other countries) needs to get debt under control and this virus is derailing the attempts to do so.
It isn't very useful to have a simulated backtest of SWAN. There are infinitely many combinations of options, it is highly likely they chose one that backtested well for this particular ETF.

In general, if you use options and you don't know exactly what you are doing, you're not getting a good deal. It is extremely difficult to calculate whether an option results in higher expected utility or not. I know because I tried.

NTSX isn't gambling, it's a trade-off between risk and reward. The outcome can be modeled with relative ease, much more difficult with options.

caklim00
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by caklim00 » Wed Mar 18, 2020 1:52 pm

Bad day for everything... Treasury Ladder is down over 8K today. All positions except for ZT 2 Year are down today. Its one of those flight only to short term treasuries days. I feel like I noticed the opposite thing a few days ago where it was the short terms that were down and long terms that were up.

kim.gold
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by kim.gold » Wed Mar 18, 2020 3:40 pm

Today was the worst day for a combined equity/bond portfolio... ever...

Image

turtle18
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by turtle18 » Thu Mar 19, 2020 11:22 am

HawkeyePierce wrote:
Wed Mar 18, 2020 10:14 am
I'm now splitting my US equity exposure between NTSX, ACWV (global min vol) and VIOV (US small cap value). VIOV has taken the biggest hit but oh well. I'll just leave it there.
Hawkeye, that's a compelling mix of ETFs. What is your full AA if I may ask?

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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by HawkeyePierce » Thu Mar 19, 2020 1:03 pm

turtle18 wrote:
Thu Mar 19, 2020 11:22 am
HawkeyePierce wrote:
Wed Mar 18, 2020 10:14 am
I'm now splitting my US equity exposure between NTSX, ACWV (global min vol) and VIOV (US small cap value). VIOV has taken the biggest hit but oh well. I'll just leave it there.
Hawkeye, that's a compelling mix of ETFs. What is your full AA if I may ask?
16% NTSX
16% ACWV
16% VIOV
16% SCHC
8% VWO
8% VWOB
20% EDV

garlandwhizzer
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by garlandwhizzer » Thu Mar 19, 2020 1:18 pm

For those who thought leverage of diversification assets was a one way street to risk adjusted outperformance, this recent episode when everything went down at once may provide a cautionary lesson. The market is not required to act as expected.

Garland Whizzer

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kevinf
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by kevinf » Thu Mar 19, 2020 1:33 pm

garlandwhizzer wrote:
Thu Mar 19, 2020 1:18 pm
For those who thought leverage of diversification assets was a one way street to risk adjusted outperformance, this recent episode when everything went down at once may provide a cautionary lesson. The market is not required to act as expected.

Garland Whizzer
It seems like NTSX performed as expected despite the bottom dropping out of assets simultaneously, a nearly worst case scenario for the fund over short terms. I'm not inclined to make any moves out of the fund after seeing its performance under pressure.

turkeysub2011
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by turkeysub2011 » Mon Mar 23, 2020 9:32 am

YTD NTSX is down ~22% vs ~30% for the broader US indices. Its really performing exactly as you would have hoped in a period of severe stress, though there have been days where both stocks and bonds have dropped together and hurt leveraged portfolios.

My risk parity light portfolio of:

50% NTSX
25% TLT
25% LTPZ

is down about ~6% on the year, but about a ~14% drawdown from the peak on March 6th.

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occambogle
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by occambogle » Mon Mar 23, 2020 10:12 am

turkeysub2011 wrote:
Mon Mar 23, 2020 9:32 am
YTD NTSX is down ~22% vs ~30% for the broader US indices. Its really performing exactly as you would have hoped in a period of severe stress, though there have been days where both stocks and bonds have dropped together and hurt leveraged portfolios.

My risk parity light portfolio of:

50% NTSX
25% TLT
25% LTPZ

is down about ~6% on the year, but about a ~14% drawdown from the peak on March 6th.
52-week high, which I assume is also YTD high, was 31.66. Last close was 23.09. I think that makes 27% down for NTSX.... unless my maths wrong.
VTI would be 33.2% I think.

turkeysub2011
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by turkeysub2011 » Mon Mar 23, 2020 3:34 pm

occambogle wrote:
Mon Mar 23, 2020 10:12 am
turkeysub2011 wrote:
Mon Mar 23, 2020 9:32 am
YTD NTSX is down ~22% vs ~30% for the broader US indices. Its really performing exactly as you would have hoped in a period of severe stress, though there have been days where both stocks and bonds have dropped together and hurt leveraged portfolios.

My risk parity light portfolio of:

50% NTSX
25% TLT
25% LTPZ

is down about ~6% on the year, but about a ~14% drawdown from the peak on March 6th.
52-week high, which I assume is also YTD high, was 31.66. Last close was 23.09. I think that makes 27% down for NTSX.... unless my maths wrong.
VTI would be 33.2% I think.
yeah i was quoting YTD returns (i.e., Jan 1 to now), but you are right in terms of the current drawdown from the peak.

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1789
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by 1789 » Mon Mar 23, 2020 7:30 pm

garlandwhizzer wrote:
Thu Mar 19, 2020 1:18 pm
For those who thought leverage of diversification assets was a one way street to risk adjusted outperformance, this recent episode when everything went down at once may provide a cautionary lesson. The market is not required to act as expected.

Garland Whizzer
Agreed. Money is the most wanted thing in the western world. Of course it can't be that easy to get it.
"My conscience wants vegetarianism to win over the world. And my subconscious is yearning for a piece of juicy meat. But what do i want?" (Andrei Tarkovsky)

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kevinf
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by kevinf » Mon Mar 23, 2020 7:33 pm

Being that this is an NTSX specific thread, what about its leverage do you feel needs this warning in light of recent market performance?

lexor
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by lexor » Wed Mar 25, 2020 10:43 pm

Some treasury yields are now negative (1 and 3 month) https://www.ccn.com/apocalypse-now-u-s- ... ive-rates/

Thoughts on how this effects NTSX?
“The miracle of compounding returns is overwhelmed by the tyranny of compounding costs.” -Mr. John C. Bogle

Topic Author
kevinf
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by kevinf » Wed Mar 25, 2020 11:55 pm

lexor wrote:
Wed Mar 25, 2020 10:43 pm
Some treasury yields are now negative (1 and 3 month) https://www.ccn.com/apocalypse-now-u-s- ... ive-rates/

Thoughts on how this effects NTSX?
"Treasury futures are laddered (equal-weighted) across the 2-, 5-, 10- and 30-year segments of the yield curve to diversify interest rate risk."

There are no 1 or 3 month treasurys involved with this fund.

MoneyMarathon
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Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Post by MoneyMarathon » Wed Mar 25, 2020 11:57 pm

lexor wrote:
Wed Mar 25, 2020 10:43 pm
Some treasury yields are now negative (1 and 3 month) https://www.ccn.com/apocalypse-now-u-s- ... ive-rates/

Thoughts on how this effects NTSX?
The implied interest (borrowing rate) of being long the futures is lower than it has been in years, which is good.

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