WisdomTree has launched a multi-asset ETF that offers alternative exposure to the traditional 60/40 portfolio via a basket of US equities and Treasury futures.
The WisdomTree US Efficient Core UCITS ETF (NTSX) is listed on the London Stock Exchange, Deutsche Boerse and Euronext Milan with a total expense ratio of 0.20%.
NTSX is self-indexed and aims to deliver up to 90% exposure to US large caps and 60% to US Treasury futures in a bid to provide a “more capital-efficient alternative to the traditional 60/40 portfolio”.
The asset manager said the ETF is a leveraged version of the 60/40 portfolio, allowing investors to receive a similar level of volatility as a 100% equity portfolio but with a better Sharp ratio than a traditional allocation.
The US equity bucket will be selected from the 500 largest companies by market capitalisation with an added ESG screen.
The 60% US Treasury futures exposure is then overlaid on top, with the remaining 10% of the portfolio used as cash for the futures collateral.
According to WisdomTree, the futures portfolio comprises five equally-weighted US Treasury futures contracts with maturities of two to 30 years which are rebalanced quarterly.
The ETF is already listed in the US and has amassed $825m since it launched in 2018.
Pierre Debru (pictured), head of quantitative research and multi-asset solutions at WisdomTree, said: “We believe investors can look at this ETF as a core US equity replacement. NTSX can provide greater return enhancement, risk management and diversification potential versus a 100% equity portfolio.
“It may have similar volatility to a 100% equity allocation over market cycles but our research shows it can help reduce drawdowns and potentially provide higher risk-adjusted returns too.”
He added it could also be used to replace a combination of stocks and bonds to “free up space for allocations to other diversifiers and alternative strategies”.
Alexis Marinof, head of Europe at WisdomTree, added: “NTSX can help investors create optimal portfolio blends and magnify portfolio exposures through the same concept that drives their asset allocation.”
In August, WisdomTree expanded its range of short and leveraged ETFs after it unveiled the WisdomTree CAC 40 3x Daily Leveraged (3CAC) and WisdomTree CAC 40 3x Daily Short (3CAS).
A month earlier, it closed three fixed income ETFs due to low demand.
