WisdomTree Negative Duration U.S. Aggregate Bond Fund

Data updated: 2020-07-23

C000134337 — WisdomTree Negative Duration U.S. Aggregate Bond Fund. Total / Aggregate Bond · $15.27M AUM. Holdings, fees, performance and SEC filings.

C000134337 Fund Overview

WisdomTree Negative Duration U.S. Aggregate Bond Fund is a US ETF managed by WisdomTree Trust, categorised as Total / Aggregate Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US ETF
Manager: WisdomTree Trust
Category: Total / Aggregate Bond
Assets under management: $15.27M
SEC CIK: 0001350487
SEC series ID: S000043385
Share class ID: C000134337

C000134337 Investment Objective and Strategy

WisdomTree Negative Duration U.S. Aggregate Bond Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by WisdomTree Trust.

Investment objective

The WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration (the “Index”).

Principal investment strategy

The Fund employs a passive management or indexing investment approach designed to track the performance of the Index. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole. Under normal circumstances, at least 80% of the Funds total assets (exclusive of collateral held from securities lending) will be invested in the component securities of the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of such component securities. The Index is designed to provide long exposure to the Bloomberg Barclays U.S.

Aggregate Bond Index while seeking to manage interest rate risk through the use of short positions in U.S. Treasury securities (U.S. Treasuries). The Index is comprised of a long portfolio and short portfolio. The long portfolio of the Index intends to replicate the Bloomberg Barclays U.S. Aggregate Bond Index, which broadly captures the U.S. investment grade, fixed income securities market and is comprised of U.S. Treasuries and U.S. Government-related bonds (e.g., obligations of the U.S. Government or its agencies or instrumentalities), corporate bonds, mortgage-backed pass-through securities, commercial mortgage-backed securities and asset-backed securities that are publicly offered for sale in the United States. The short portfolio of the Index holds short positions in U.S. Treasuries that seek to correspond to a duration exposure exceeding the duration of the long portfolio, with a targeted total duration exposure of approximately negative five years (e.g., if the average duration of bonds in the long portfolio is approximately five years, the short portfolio will seek an average duration of approximately ten years among its short holdings of U.S.

Treasuries, with an aggregate targeted duration of Index holdings of approximately negative five years). Duration is a measure used to determine the sensitivity of a portfolio to changes in interest rates with a longer duration portfolio being more sensitive to changes in interest rates. The Index methodology weights the short exposure to U.S. Treasuries of differing maturities in a manner that is intended to achieve the desired duration target for the Index, while seeking to mitigate the risk to shifts in the Treasury yield curve between the long and short maturity securities of the Index. The short exposure in the Index and the Fund, respectively, is expected to have greater sensitivity to interest rates than the long exposure of the Index and the Fund, respectively, in targeting the desired overall interest rate sensitivity, which has a target duration of negative five years.

The short exposure of the Index and Fund are also expected to be more heavily weighted toward longer maturity U.S. Treasuries (or futures providing exposure to U.S. Treasuries in the case of the Fund) than the long exposure. The long portfolio and short portfolio of the Index are rebalanced on a monthly basis to where the dollar amount of the long portfolios bond positions is approximately equivalent to the dollar amount of the short exposure achieved within the short portfolio. The Index is designed to have greater returns than an equivalent non-interest rate hedged investment when U.S. Treasury rates are rising significantly. Conversely, the Index is designed to have lower returns than an equivalent non-interest rate hedged investment when U.S. Treasury rates are falling significantly. A significant portion of the bonds represented in the long portion of the Index are U.S.

agency mortgage-backed pass-through securities. U.S. agency mortgage-backed pass-through securities are securities issued by entities such as Government National Mortgage Association (GNMA) and Federal National Mortgage Association (FNMA) that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur through standardized contracts for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a to-be-announced transaction or TBA Transaction. In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, paramount and price. The actual pools delivered generally are determined two days prior to the settlement date; however, it is not anticipated that the Fund will receive pools, but instead will participate in rolling TBA Transactions.

The Fund expects to enter into such contracts on a regular basis. The Fund, pending settlement of such contracts, will invest its assets in high-quality, liquid short term instruments. In seeking to track the short portfolio of the Index, the Fund will invest in short positions in futures contracts on U.S. Treasuries. The Fund may also short U.S. Treasuries. To the extent the Index concentrates (i.e., holds 25% or more of its total assets) in the securities of a particular industry or group of industries, the Fund will concentrate its investments to approximately the same extent as its Index.

C000134337 Costs and Fees

C000134337 costs about $28 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.28%
Gross expense ratio: 0.28%
Portfolio turnover: 88%
Brokerage commissions: 1.52 bps of average net assets (SEC N-CEN)

C000134337 Cashflows

Over the 12 months to 2020-05, WisdomTree Negative Duration U.S. Aggregate Bond Fund had net outflows of $7.91M, from monthly SEC N-PORT filings.

Month	Net flow
2020-05	$0
2020-04	−$3.77M
2020-03	$0
2020-02	$0
2020-01	$0
2019-12	$0

C000134337 Debt Constituents

No individual debt constituents are reported in WisdomTree Negative Duration U.S. Aggregate Bond Fund's latest SEC N-PORT filing.

C000134337 Prospectus and SEC Filings

Official WisdomTree Negative Duration U.S. Aggregate Bond Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Total / Aggregate Bond funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.