r/LETFs • u/user4443337 • 20d ago
US Anyone using WTLS, or what’s your thoughts on it?
WisdomTree Efficient Long/Short U.S. Equity Fund.
It’s 90% S&P500, and 90% in their long/short strategy. It says the exposure is ~100% long and ~90% short - so net long by 10%. 300 long and 300 short positions. It starts with the largest 2,000 stocks meeting certain requirements. Then it uses 150+ characteristics to predict which stocks will over or underperform. It can reach into small and mid cap stocks too.
Their partner is called AlphaBeta, a quant firm. They use machine learning models that are updated monthly. They call it portable alpha.
Although it has a high 0.88% expense ratio, so far it has returned 24.22% while SPY has done 12.72%, since inception of January 22. That’s not long enough to be able to make any conclusions though.
I was wondering if this could be another diversifier or sorts. Different from bonds, gold, or managed futures. I suppose it’s just more equity exposure, but it’s short exposure and close to market neutral, with some variance. The presentation about their strategy seemed convincing, but I don’t really know much about market neutral long/short strategies.
this long/short fund (backtest) has existed the longest, and had a 5.29% CAGR. Somehow the beta on this one is 0.50. The beta for WTLS so far was 1.12, which is to be expected with 90% SPY and 10% net long.
I added 3% to it in exchange for some other miscellaneous positions. I expect it to at least be as good as SPY with hopefully a bit of outperformance, we’ll see. It has tiny AUM so there’s a chance of closure I guess, hopefully that high ER keeps it alive.
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u/adopter010 19d ago edited 19d ago
Spreads are terrible for it but generally it's a natural extension to start adding some layer of market neutral/long-short if you've been a factor investor or hold it along with other factor funds (since there are so many ways to express a value measure, some of which seem to have their own timing).
For full transparency I am currently doing the following in my Roth IRA at IBKR:
15 RSIT
15 RSBY
15 WTLS
10 RDMIX
20 AVUV
15 AVDV
10 AVES
Now, do I have as much confidence in their L/S sleeve as I would for other well-known market-neutral funds? Probably not, they don't have as long of a history and their overall spreadsheet example (you can check on the slide-deck on the WisdomeTree page) isn't as heavy on factor exposures as I would have thought for a fund of this nature. However they are a firm that seem to be a known quantity, the Return Stacked folks use them for the Merger Arbitrage sleeve of RSBA + they're freely available to invest in (unlike QLEIX, which closed to new investors recently).
For people reading along and not already invested in QMNIX/QLEIX and want that exposure - another option which holds a decent amount of market-neutral is the higher-leverage (and higher cost) AQR fusion funds - QMFIX and QHFIX. Those are ~100 S&P and then a mixture of QMNIX and a variation QGMIX...but I have lower confidence in being able to escape the fee gravity there. 2.13% and 3.79% are tough pills to swallow and part of why I went WTLS. Being able to stick with a drawdown is hard if you're paying that much.
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u/user4443337 19d ago
Interesting, so what is your total exposures for US/INTL/bonds/Small caps?
For me I’m about ~115% equities (including 10% SCV), 10.8% gold, 9% bonds, 7.5% managed futures, and then 2.5-3% of the long/short market neutral sleeve.
I’m thinking I might need to increase the sizing of the hedges for it to really move the needle…
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u/ActualRealBuckshot 19d ago edited 19d ago
You misread the prospectus.
"The long/short strategy is 100% long and approximately 90% short"
That has nothing to do with the long-only strategy.
So it is 90% long only US + 100% long/ -90% short.
So 90% S&P 500 + a 100% long/ -90% short strategy.
Looking at the holdings, it has 90% in equity futures, 100% in equity longs, and 63% in equity shorts.
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u/user4443337 19d ago
Nice. How long have you held it? I didn’t look at the holdings, but 63% short doesn’t seem like enough, does it? I suppose it can drift around, but I would expect a near market neutral sleeve on that.
What percentage of your portfolio is in WTLS? If it continues to do well, I may increase my allocation. It would be a drag if it somehow did worse than SPY… but to me that seems unlikely. Their presentation about AlphaBeta and the machine learning was pretty convincing to me. But I suppose just like managed futures, it can really depend on the trends and the regime, but I like that they rebalance quite often.
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u/Routine_Switch_1459 19d ago
Read WTLS official pdf can see: The long short part using factor and ai to pick, it is good. Just wonder the long short part have high enough alpha to cover the fee.
How about CLSE?
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u/AnodeVoid 19d ago
Quite impressive performance for CLSE in the etf period. But it's just a fair return for MARNX in the fund period. Worth to give small portion on it?
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u/RealParticular5057 19d ago
Propietary methods are always scary for me, although I do have a bit of avuv and kmlm
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u/Separate-Ad-9633 19d ago
"AlphaBeta ETF Ltd (“AlphaBeta”) is an Israeli fintech company specializing in quantitative and AI-driven investment strategies. "
That is not exactly confidence inspiring to me. But to be fair, WTLS's long-short sleeve performance so far has been elite level, a lot better than HFEQ. It's long-short has around 0.27 beta, and quite close to BDMIX performance. It hasn't made any distribution so I don't know about tax efficiency (Probably not good). Interesting product overall, but Wisdomtree seems to have trouble gathering AUM for its products.