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.”
A month earlier, it closed three fixed income ETFs due to low demand.