WisdomTree Dynamic Long/Short U.S. Equity Fund

Data updated: 2020-05-29

C000162869 — WisdomTree Dynamic Long/Short U.S. Equity Fund. Global (incl. US) Real Estate · $17.36M AUM. Holdings, fees, performance and SEC filings.

C000162869 Fund Overview

WisdomTree Dynamic Long/Short U.S. Equity Fund is a US ETF managed by WisdomTree Trust, categorised as Global (incl. US) Real Estate. 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: Global (incl. US) Real Estate
Assets under management: $17.36M
SEC CIK: 0001350487
SEC series ID: S000051755
Share class ID: C000162869

C000162869 Investment Objective and Strategy

WisdomTree Dynamic Long/Short U.S. Equity Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by WisdomTree Trust.

Investment objective

The WisdomTree Dynamic Long/Short U.S. Equity Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree Dynamic Long/Short U.S. Equity Index (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 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 includes long U.S. equity positions (the Long Equity Basket) and, at times, short U.S.

equity positions (the Short Equity Basket). The Long Equity Basket consists of approximately 100 U.S. large-capitalization stocks that meet Index eligibility requirements and have the best combined score based on fundamental growth and value signals. The starting universe of companies eligible for inclusion in the Long Equity Basket includes companies that meet the following criteria as of the quarterly Index screening date: (i) incorporated and headquartered in the United States; (ii) listed on a U.S. stock exchange; (iii) market capitalization of at least $2 billion; and (iv) average daily dollar volume of at least $100,000 for the preceding three months. Eligible securities for the Long Equity Basket are organized by sector such that the sectors within the Long Equity Basket are weighted the same (i.e., sector neutral) as the eleven (11) sectors in a market capitalization weighted portfolio of the largest 500 U.S.

companies. Within the sector designations, stocks are selected based on a sector-specific indicator which scores companies based on fundamental growth and value signals, as described below, and the stocks with the highest scores within each sector are selected for a total of approximately 100 stocks in the Long Equity Basket. Stocks are then weighted within each sector of the Long Equity Basket according to their volatility characteristics with greater weight given to stocks with lower volatility. Weighting is determined by using the standard deviation (a measure of volatility) and beta (a measure of correlation) of such stocks. The Short Equity Basket consists of short positions in the largest 500 U.S. companies, weighted by float-adjusted market capitalization, designed to act as a market risk hedge.

Short selling involves selling a security that is not owned but has been borrowed from a third party with the intention of buying an identical security at the market price at a later date to return to that third party. Unlike long positions which profit from increases in the price of a security, short positions profit from the falling price of a security. The Index maintains 100% exposure to the Long Equity Basket while employing a variable hedge ranging from 0% to 100% exposure to the Short Equity Basket based on a quantitative rules-based market indicator that scores growth and value market signals. The growth and value signals are determined by the following criteria: (i) the growth indicator is predicated on the change of the profit margin (e.g., operating income to sales) and profit quality (e.g., operating cash flow over operating income) of the securities in the starting universe of companies; and (ii) the value indicator is predicated on the value of the price multiples (e.g., market capitalization to equity) of the securities in the starting universe of companies.

The resulting value and growth scores are equally weighted and calculated using rolling three-month averages. During times when the market indicator model shows attractive readings (high score) on valuation and growth characteristics, which are designed to indicate more favorable conditions for the broader U.S. equity market, the Index is unhedged with 0% exposure to the Short Equity Basket. During times when the market indicator model shows unattractive readings (low score) on valuation and growth characteristics, which are designed to indicate less favorable conditions for the broader U.S. equity market, the Index seeks to hedge broader U.S. equity market risk by increasing exposure to the Short Equity Basket. The stocks within the Indexs Long Equity Basket are reconstituted and rebalanced on a quarterly basis.

The amount of exposure to the Indexs Short Equity Basket is reset on a monthly basis; however, the stocks within the Indexs Short Equity Basket are reconstituted and rebalanced annually. The Fund will generally hold long positions (and may hold short positions) in a manner similar to the Index, although the Funds exposure to short positions is expected to be obtained through derivatives, such as futures contracts and swaps. WisdomTree Investments, Inc., as index provider, currently uses Standard & Poors Global Industry Classification Standards (S&P GICS) to define companies within a sector. The following sectors are included in the Index: consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, real estate, communication services, and utilities.

A sector is comprised of multiple industries. For example, the energy sector is comprised of companies in, among others, the natural gas, oil and petroleum industries. As of September 30, 2018, a significant portion of the Long Equity Basket was comprised of companies in the information technology and financial sectors. 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 the Index.

C000162869 Costs and Fees

C000162869 costs about $48 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.48%
Gross expense ratio: 0.53%
Portfolio turnover: 184%
Brokerage commissions: 2.97 bps of average net assets (SEC N-CEN)

C000162869 Cashflows

Over the 12 months to 2020-03, WisdomTree Dynamic Long/Short U.S. Equity Fund had net outflows of $46.50M, from monthly SEC N-PORT filings.

Month	Net flow
2020-03	−$5.41M
2020-02	−$2.64M
2020-01	−$2.77M
2019-12	−$2.79M
2019-11	−$2.70M
2019-10	−$2.71M

C000162869 Debt Constituents

No individual debt constituents are reported in WisdomTree Dynamic Long/Short U.S. Equity Fund's latest SEC N-PORT filing.

C000162869 Prospectus and SEC Filings

Official WisdomTree Dynamic Long/Short U.S. Equity Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Global (incl. US) Real Estate 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.