WSLS

Note on sources. No fact sheet was supplied. The WisdomTree fund web page (WSLS-WEB, saved November 11, 2026) now stands in for the fact sheet for snapshot data. It replaces the October 2026 sales deck (WSLS-DK), which earlier stood in by agreement. The daily holdings file (WSLS-HD, November 11, 2026) gives measured positions. A 4-page WisdomTree investment case paper (WSLS-IC) was also supplied. The prospectus and SAI come in one 334-page SEC filing and are coded WSLS-PR and WSLS-SAI by page range. Part C of the same filing is coded WSLS-PC (see section 14).

1. Summary

• WSLS is an actively managed "portable alpha" ETF. It pairs market exposure to U.S. small caps with a long/short small-cap overlay picked by machine learning models from AlphaBeta. The aim is total return and outperformance of the S&P SmallCap 600.
• Measured on November 10, 2026, it held 90.00% in E-mini Russell 2000 futures, 98.33% in long stocks and 70.48% in short stocks (WSLS-WEB, pages 8 to 10). That is 188% long, 70% short, 2.59x gross and 118% net (my arithmetic). The prospectus target for the overlay is 100% long and about 90% short, so shorts are running well under target.
• It does not short stock directly. The long/short overlay "generally will be achieved through the use of derivative instruments, including, but not limited to, swaps." The fund's only physical holdings are Treasury bills and cash, which serve as collateral. No swap counterparty is named.
• It is tiny: $2.52 million in total assets and 100,000 shares on November 11, 2026, which looks like seed capital only (my inference).
• Most relevant for us: this is a 40 Act ETF running at about 2.6x gross with no prime broker. Futures supply the market exposure and swaps supply both overlay legs. It is a working example of the swap and futures routes Tidal raised. But it runs about 118% net long, not market neutral, and it is too new to show costs.

2. Key facts

Other: the fund is non-diversified (WSLS-PR, page 91, "Non-Diversification Risk"). WisdomTree managed $168.8 billion in exchange-traded products globally as of September 30, 2026 (WSLS-DK, page 2, "WisdomTree Company Overview").

3. Service providers

4. Strategy

• Objective and benchmark. The prospectus objective: the fund "seeks total return." (WSLS-PR, page 87, "Investment Objective"). The deck adds the method: "by deploying a portion of investment assets to U.S. small cap equity futures and a dynamic long/short U.S. equity overlay strategy." (WSLS-DK, page 9). The web page uses nearly the same words (WSLS-WEB, page 1, "Product Description"). The deck names the S&P Small Cap 600 Index as benchmark and its goal as consistent outperformance of it (WSLS-DK, pages 9 and 11). The investment case paper says "S&P 600 Index" (WSLS-IC, page 3, "Quick Facts"). The prospectus summary names no benchmark yet (WSLS-PR, page 92, "Fund Performance"). The futures actually held are on the Russell 2000, not the S&P 600 (WSLS-HD, row 274). See section 10.
• 80% policy. Under a non-fundamental policy, the fund invests at least 80% of net assets, plus any investment borrowings, in U.S. small-cap equity securities and in derivatives that give exposure to them (WSLS-PR, page 153; WSLS-SAI, page 258, citing Rule 35d-1).
• Two sleeves. The fund runs a long/short small-cap strategy and a long-only small-cap strategy, with "approximately equal exposure" to each under normal circumstances (WSLS-PR, page 87, "Principal Investment Strategies of the Fund").
  • Long-only sleeve: "a basket of equity securities of small-capitalization U.S. companies generally weighted by market capitalization or derivative instruments that provide similar exposure." (WSLS-PR, page 87). The deck and paper say this sleeve is small-cap futures (WSLS-DK, page 10; WSLS-IC, page 2). The holdings confirm futures: 18 long E-mini Russell 2000 December 2026 contracts (WSLS-HD, row 274), shown as 90.00% "Equity Futures" (WSLS-WEB, page 10).
  • Long/short sleeve: built from the model outputs, mainly through swaps (WSLS-PR, page 88).
• Universe. "Small-capitalization companies are those with market capitalization smaller than the 1,000th largest U.S.-listed company by market capitalization." (WSLS-PR, page 87). To be eligible, a stock must be listed on the NYSE or Nasdaq, trade more than $3 million a day on average over six months, and, for shorts, "have a borrow fee of less than 10% of the total value of the borrowed shares" (WSLS-PR, page 88). The deck shows the same three screens (WSLS-DK, page 13). Measured on November 9, 2026, most of the overlay sits in companies of $2 billion to $10 billion: 82.89% of long exposure and 87.70% of short exposure. No positions are above $10 billion (WSLS-WEB, page 4, "Market Capitalization").
• Sectors. Expected "significant exposure (e.g., approximately 15% or more of the Fund's holdings) to the Industrials, Healthcare, Financials and Information Technology Sectors." (WSLS-PR, page 88). Measured overlay net weights on November 10, 2026 ran from +6.64% (Banks) to -4.86% (REITs). Capital Goods was the largest gross sector at 12.54% long and 9.23% short (WSLS-WEB, pages 8 and 9, "Holdings Summary").
• How it picks stocks. Quantitative. Machine learning models from a third-party provider, trained on historical data, predict each stock's return and risk from features such as value, momentum, quality, profitability, size and risk (WSLS-PR, page 88). The prospectus says the models use "more than one hundred" features (WSLS-PR, page 154). The deck says AlphaBeta's database has more than 150 factors (WSLS-DK, page 7). It names an ensemble of four model types: IPCA (a method that pulls hidden factors out of large data sets), an autoencoder (a deep learning model), a peer-relative model and a cross-asset model. Training data runs from 1962 (WSLS-DK, page 12, "Alpha Model"). The sub-adviser "retains discretion in determining whether and how to implement any outputs generated by the model" (WSLS-PR, page 89, "Models and Data Risk").
• Neutrality targets. The overlay aims to neutralize market risk. The deck says it "isolates alpha while neutralizing broad market risk" (WSLS-DK, page 13; checked against the page image). The paper says the overlay is designed to produce returns "independent of broad market direction" (WSLS-IC, page 2). No beta, dollar or sector neutrality figure is given. The fund as a whole is not market neutral: it keeps full small-cap market exposure (WSLS-IC, page 1). Measured, the overlay itself was not dollar neutral either: 98.33% long against 70.48% short on November 10, 2026, or 27.85% net long (WSLS-WEB, page 8; my arithmetic).
• Net exposure. No stated target for the whole fund. Within the overlay, "net exposure varies" (WSLS-DK, page 13). Measured fund net was 117.85% on November 10, 2026 (my arithmetic from WSLS-WEB, pages 8 and 10). See section 5.
• Rebalancing. The portfolio "generally is rebalanced monthly" (WSLS-PR, page 88).
• Limits on position size. No numeric limit is stated. Fundamental policy bars investing "more than 25% of the Fund's total assets" in one industry (WSLS-SAI, page 257, "Investment Limitations"). The fund is non-diversified (WSLS-PR, page 91). Measured on November 11, 2026, the largest long was StoneX Group at 1.39%, and the largest short was StepStone Group at -1.54% (WSLS-HD, rows 110 and 128).
• A sponsor holding. The overlay held WisdomTree Inc., the sponsor's parent, as a 0.92% long on November 11, 2026 (WSLS-HD, row 111).

5. Exposure and leverage

• Measured exposure. From WisdomTree's holdings summary, as of November 10, 2026 (WSLS-WEB, pages 8 to 10), and the holdings file, as of November 11, 2026 (WSLS-HD):

• Caveats on the measured figures.
  • The table reads the weights as percentages of net assets. The files don't say what the weights are measured against (my inference).
  • The web page gives the Equities group a "Group Weight" of 90.00%, but its own long and short figures net to 27.85% (my arithmetic). The 90.00% is unexplained (WSLS-WEB, page 8).
  • The futures line lists 18 contracts with a market value of $2,568,330 (WSLS-HD, row 274). That is 101.7% of total assets of $2,524.76 thousand (my arithmetic; WSLS-WEB, page 2). Using it in place of 90%, gross would be about 2.70x and net about 130% (my arithmetic). So the 90% may be a target rather than a measured weight (my inference).
  • The stock lines carry no share count and no market value (WSLS-HD, rows 7 to 273), while Treasuries and cash alone sum to 100% of the fund. So the stocks are held synthetically, consistent with swaps (my inference).
• Stated targets.
  • Futures: "For every $100 invested, the Fund seeks to invest approximately $90 in U.S. small cap futures." (WSLS-DK, page 10, "Understanding WSLS & its Exposures"; repeated on page 16). Slide 11 says "90% exposure to U.S. small caps" (WSLS-DK, page 11). The measured 90.00% matches this (WSLS-WEB, page 10).
  • Overlay: "$90 in a long/short equity strategy is layered on top for $180 of total notional exposure." (WSLS-DK, page 10).
  • Overlay split: "Typically, the long/short U.S. small-capitalization equity strategy is comprised of 100% long positions and approximately 90% short positions" (WSLS-PR, page 88). The deck shows "≈100% long | ≈ 90% short (net exposure varies)." (WSLS-DK, page 13).
  • Conflict: the investment case paper says "$100 tracks the performance of U.S. small-cap index futures (market beta)." (WSLS-IC, page 2). The measured 90% does not support it.
• Targets against measured (my arithmetic, my inference on the base). The documents don't say whether the 100% and 90% apply to the $90 sleeve or to net assets.
  • If they apply to the $90 sleeve: longs 90% + 90% = 180%, shorts 81%. Gross 2.61x, net 99%.
  • If they apply to net assets: longs 90% + 100% = 190%, shorts 90%. Gross 2.80x, net 100%.
  • Measured longs of about 98% fit the net assets reading. Measured shorts of about 70% fit neither reading. Shorts ran about 20 points below the stated "approximately 90%."
  • The deck's "$180 of total notional exposure" counts the overlay once, at its sleeve size, and leaves out its short leg (my inference).
• How it gets exposure above 100%. Through derivatives on a cash base. The deck calls it "fully cash-collateralized exposure" to small-cap futures "combined with a long/short equity strategy overlay." (WSLS-DK, page 10). The overlay "generally will be achieved through the use of derivative instruments, including, but not limited to, swaps." (WSLS-PR, page 88). The fund holds "U.S. Treasury securities and cash and cash equivalents to serve as collateral or margin" (WSLS-PR, page 88). The holdings bear this out: all physical assets are two Treasury bills and cash (WSLS-HD, rows 4 to 6). No direct short sales, short sale proceeds or bank borrowing are described.
• Borrowing limits. Fundamental policy: the fund may not "Borrow money, except as permitted under the 1940 Act." (WSLS-SAI, page 256, "Investment Limitations"). The SAI says "Under the 1940 Act, a Fund may borrow up to 33% of its net assets." and "A Fund will borrow only for short-term or emergency purposes." (WSLS-SAI, page 211, "Borrowing"). The 40 Act limit is usually expressed as 300% asset coverage, which allows borrowing of up to one-third of total assets, or half of net assets (my inference). Notably, the SAI's 10% borrowing expectation applies to "each fund, except Global Alpha Fund and Efficient Long/Short U.S. SmallCap Equity Fund" (WSLS-SAI, page 211). So WSLS is carved out of that expectation. No reason is given. No line of credit is named.

6. Shorting, financing and collateral

• How it shorts. Through derivatives, mainly swaps. The prospectus describes short exposure as using "derivatives (such as options and swaps) to gain exposure to a short position without having to borrow the security." (WSLS-PR, page 177, "Short Exposure Risk"). WSLS's own risk text: "A short exposure through a derivative exposes the Fund to counterparty, credit and leverage risks." (WSLS-PR, page 91, "Short Exposure Risk"). No share between swaps and other methods is given. The holdings file lists 111 short stock lines with weights but no share count or market value, and no swap line (WSLS-HD, rows 7 to 273).
• Swap type. The summary says only "swaps" (WSLS-PR, page 88). The SAI permits "equity and basket swaps, and total return swaps" (WSLS-SAI, page 215, "Swap Agreements and Options on Swap Agreements"). Whether WSLS uses single-stock swaps, a basket swap or a custom-index swap is not stated. The holdings file shows the stocks inside the swaps, not the swaps themselves (my inference).
• Who lends the stock and who holds collateral. Not stated. The swap dealer would carry any stock borrow inside the swap (my inference). The 10% borrow-fee screen on shorts (WSLS-PR, page 88) shows that borrow cost still matters to the strategy.
• What is posted. Treasuries, cash and cash equivalents, as "collateral or margin for the Fund's investments in swap contracts and other derivatives." (WSLS-PR, page 88). On November 11, 2026 the fund held a Treasury bill maturing January 14, 2027 (45.60%), one maturing March 18, 2027 (45.26%) and cash (9.14%) (WSLS-HD, rows 4 to 6). For futures, "Margin deposits are posted as performance bonds with the clearing broker" (WSLS-SAI, page 216, "Futures, Options, and Options on Futures Contracts"). No long stocks are pledged, as the longs are synthetic (my inference). How much of the Treasuries and cash sits with the swap counterparty or futures broker is not stated.
• Short sale proceeds used to buy longs. No. There are no direct short sales (my inference from WSLS-PR, page 88).
• Segregated or tri-party account. Not stated for swap collateral. BNY is primary custodian (WSLS-SAI, page 281). Whether swap collateral sits at BNY under a control agreement or moves to the counterparty is not stated. Part C lists no swap, collateral or futures clearing agreement (WSLS-PC, pages 1 to 8, Item 28).
• Short dividends. On November 9, 2026 the short book's dividend yield was 0.76% and the long book's 1.33% (WSLS-WEB, page 4, "Portfolio Characteristics"). With shorts at 70.48% of the fund, short dividends would cost about 0.54% of net assets a year (my arithmetic). Under a swap, that cost sits inside swap returns (my inference).
• Costs named. The SAI notes short-sale costs "such as costs of borrowing and margin account maintenance costs" (WSLS-SAI, page 247, "Short Sale Transactions"). That passage is general and covers all funds that may short.
• Securities lending. The trust's funds participate in a program run by BNY, up to one-third of total assets (WSLS-SAI, page 246, "Securities Lending"). WSLS has no lending record yet: "The Fund did not commence operation until after June 30, 2026." (WSLS-SAI, page 284, footnote 7). It holds only Treasury bills and cash, so it has no stocks to lend (my inference from WSLS-HD, rows 4 to 6).
• Permitted only. The SAI lets each fund "enter into reverse repurchase agreements" (WSLS-SAI, page 246) and "buy and sell index futures contracts" (WSLS-SAI, page 216). It also permits direct short sales for the Capital Efficient Funds, which include WSLS (WSLS-SAI, page 246, "Short Sale Transactions"). None of these is named as a WSLS principal strategy, apart from futures in the deck. The holdings show futures in use (WSLS-HD, row 274).

7. Derivatives and Rule 18f-4

• Derivatives used. "The Fund expects to use swaps and other derivative instruments to implement its principal investment strategies." (WSLS-PR, page 89, "Derivatives Risk"). The deck names small-cap futures for market exposure (WSLS-DK, pages 10 and 16). The holdings show 18 long E-mini Russell 2000 December 2026 contracts (WSLS-HD, row 274). The risk text also describes futures, options and forwards in general terms (WSLS-PR, page 89).
• Limited derivatives user or full program. Not stated for WSLS. The SAI describes the rule: a derivatives risk management program, a derivatives risk manager and a VaR limit, with an exemption for funds that use derivatives "only to a limited extent and in a limited manner" (WSLS-SAI, page 214, "Derivatives"). All of the fund's equity exposure is synthetic, about 259% of net assets on November 10, 2026 (my arithmetic from WSLS-WEB, pages 8 to 10). So WSLS could not qualify as a limited derivatives user and must run a full program (my inference).
• VaR test and reference portfolio. Not stated. A full-text search of the filing found no "relative VaR", "absolute VaR" or "designated reference portfolio." VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level. The S&P SmallCap 600 or the Russell 2000 would be natural reference indexes for a relative VaR test (my inference).
• Commodity pool status (CFTC Rule 4.5). WisdomTree Asset Management has filed a notice "claiming an exclusion from the definition of commodity pool operator" under CFTC Rule 4.5 for each fund (WSLS-SAI, page 215, "Derivatives"). So WSLS is not run as a regulated commodity pool.

8. Costs

• What the adviser pays versus what the fund pays. The adviser pays all fund expenses except: brokerage and transaction costs; litigation; independent trustee and counsel costs; CCO costs; extraordinary expenses; 12b-1 fees; interest and taxes; securities lending fees; and the management fee itself (WSLS-SAI, page 269, "Investment Advisory and Other Services"). The adviser also receives "a fee of up to 0.0044% of each Fund's average daily net assets" for arranging CCO and trustee services (WSLS-PR, page 183). The fee table shows no separate line for it.
• Who pays the sub-adviser and model provider. WisdomTree Asset Management pays NIMNA (WSLS-PR, page 184, "Sub-Advisers") and pays AlphaBeta ETF Ltd an asset-based license fee (WSLS-PR, page 184, "Investment Adviser").
• Expense example. $90 for 1 year and $281 for 3 years per $10,000 (WSLS-PR, page 87, "Example").
• Brokerage commissions and turnover. None yet. Turnover "is not yet available" (WSLS-PR, page 87, "Portfolio Turnover"). The SAI tables show "n/a" for commissions and a dash for turnover (WSLS-SAI, page 287, "Brokerage Transactions"; WSLS-SAI, page 288, "Portfolio Turnover").
• Gap between expense ratio and management fee. 0.88% minus 0.88% is 0.00% (my arithmetic). The fee is unitary and the estimate has no line for interest or derivatives costs. Real total cost will be higher once swap spreads, short dividends and futures roll costs are counted, but these will show up in returns rather than the expense ratio (my inference).

9. Performance and risk

• Returns. Since inception to October 31, 2026: -0.81% at NAV and -1.09% at market price (WSLS-WEB, page 4, "Total Returns"). 1-month, 3-month and year-to-date figures are shown as N/A. The fund started October 8, 2026 and "does not yet have performance history for a full calendar year." (WSLS-PR, page 92, "Fund Performance").
• Calendar-year returns. None.
• Premium and discount. -1.525% to NAV as of November 10, 2026 (WSLS-WEB, pages 3 and 7).
• Risk statistics. None for the fund (no beta, correlation, volatility, Sharpe ratio, drawdown or capture figures). With measured net exposure of about 118%, beta to small caps would likely exceed 1.0 (my inference).
• Portfolio characteristics, overlay only, as of November 9, 2026 (WSLS-WEB, page 4, "Portfolio Characteristics"):

• Context figures in the deck, not fund results.
  • The Morningstar US Fund Long/Short Equity category averaged 4.22% a year with 7.25% volatility, against 9.71% and 19.73% for the S&P SmallCap 600. Period: October 31, 2005 to August 31, 2026 (WSLS-DK, page 8).
  • The S&P SmallCap 600 returned about 10.5% a year over the 10 years to August 31, 2026, or 172% cumulative on the chart (WSLS-DK, page 16).

10. History and structural changes

• Predecessor funds. None stated.
• Reorganizations and 351 conversions. None. Section 351 appears only in a standard rule letting the trust reject creation orders that would give a buyer 80% or more of shares (WSLS-SAI, page 305, "Taxes").
• Changes. Louis Mangini joined as portfolio manager in November 2026, a month after launch (WSLS-PR, page 92, "Portfolio Managers").
• Size. 100,000 shares outstanding and total assets of $2.52 million on November 11, 2026 (WSLS-WEB, page 2). At the $25 launch price that is about $2.5 million, which suggests no creations since seeding (my inference).
• Document dates. The deck is dated October 2026 (WSLS-DK, page 1). The paper carries no printed date. The prospectus and SAI are dated November 1, 2026 and were filed October 28, 2026 (WSLS-PR, pages 1 and 2; WSLS-SAI, page 207). The web page and holdings file are dated November 9 to November 11, 2026 (WSLS-WEB; WSLS-HD).
• Conflicts between documents.
  • Futures share: about $90 per $100 (WSLS-DK, pages 10, 11 and 16) versus "$100 tracks the performance of U.S. small-cap index futures" (WSLS-IC, page 2). Resolved in favor of $90: the holdings summary shows 90.00% (WSLS-WEB, page 10). But the futures' listed market value is 101.7% of total assets (my arithmetic; see section 5).
  • Long-only sleeve: futures (WSLS-DK, page 10; WSLS-IC, page 2) versus "a basket of equity securities ... or derivative instruments" (WSLS-PR, page 87). The prospectus never names futures for WSLS. The web page risk text also says the fund "invests in a basket of equity securities" (WSLS-WEB, page 11). Resolved in favor of futures: the fund holds E-mini Russell 2000 futures and no stocks (WSLS-HD, rows 4 to 6 and 274).
  • Benchmark versus futures: the deck and paper name the S&P SmallCap 600 (WSLS-DK, page 9; WSLS-IC, page 3), but the futures are on the Russell 2000 (WSLS-HD, row 274). New conflict.
  • Overlay shorts: "approximately 90% short positions" (WSLS-PR, page 88) versus 70.48% measured on November 10, 2026 (WSLS-WEB, page 8). New conflict.
  • Equities weight: the web page shows an Equities "Group Weight" of 90.00% beside long and short figures that net to 27.85% (WSLS-WEB, page 8; my arithmetic). Unexplained.
  • Benchmark name: "S&P Small Cap 600 Index" (WSLS-DK, page 9) versus "S&P 600 Index" (WSLS-IC, page 3). The prospectus names none.
  • Universe: the prospectus defines small caps as below the 1,000th largest U.S.-listed company (WSLS-PR, page 87), a wider set than the S&P SmallCap 600 benchmark (my inference). Measured, most overlay names are $2 billion to $10 billion companies (WSLS-WEB, page 4).
  • Feature count: "more than one hundred" (WSLS-PR, page 154), more than 150 (WSLS-DK, page 7; WSLS-IC, page 1) and "Hundreds" (WSLS-DK, page 12).
  • Portfolio managers: the prospectus names NIMNA staff (WSLS-PR, page 92). The deck shows AlphaBeta's team and does not mention NIMNA (WSLS-DK, page 18).
  • Name spelling: "SmallCap" in the prospectus (WSLS-PR, page 2) versus "Smallcap" on the web page and in the holdings file (WSLS-WEB, page 1; WSLS-HD, row 1).

11. Principal risks

Summary list: WSLS-PR, pages 88 to 92, "Principal Risks of Investing in the Fund". Longer descriptions: WSLS-PR, pages 159 to 178, "Additional Principal Risk Information About the Funds".

• Small-Capitalization Investing Risk (page 88).
• Models and Data Risk (page 89). Notes the model is "artificial intelligence-based".
• Derivatives Risk (page 89). Flag: leverage and counterparties. Names swaps, counterparty credit risk and losses beyond initial investment.
• Investment Risk (page 89).
• Market Risk (page 89).
• Shares of the Fund May Trade at Prices Other Than NAV (page 89).
• Active Management Risk (page 89).
• Cash Redemption Risk (page 90). Flag: cash redemptions follow from synthetic holdings that can't be delivered in kind (my inference).
• Counterparty Credit Risk (page 90). Flag: counterparties. Warns of using "a limited number of counterparties".
• Cybersecurity Risk (page 90).
• Financials Sector Risk (page 90).
• Geographic Investment Risk (page 90).
• Geopolitical Risk (page 90).
• Healthcare Sector Risk (page 91).
• Industrials Sector Risk (page 91).
• Information Technology Sector Risk (page 91).
• Issuer-Specific Risk (page 91).
• Leveraging Risk (page 91). Flag: leverage. Derivatives "will give rise to leverage, magnifying gains and losses".
• Liquidity Risk (page 91). Flag: derivatives "may not always be liquid."
• Non-Diversification Risk (page 91).
• Short Exposure Risk (page 91). Flag: shorting and counterparties. Loss "may be theoretically unlimited".
• Tax Risk (page 92). Flag: offsetting long and short positions may be treated as tax "straddles", which can defer losses and change gain character.
• U.S. Treasuries Risk (page 92).

No principal risk is named for a prime broker, stock borrow recalls or futures roll costs.

12. Relevance to our fund

• How close is its structure and leverage? Not close in aim, close in plumbing (my inference). WSLS runs about 118% net long. We are pure market neutral at 150/150. Even its overlay alone was 98% long and 70% short on November 10, 2026, about 28% net long, not the neutral book of the kind we plan. Its measured gross of about 2.6x (my arithmetic) is near our 3.0x. It ran 156 longs and 111 shorts, inside or just above our 75 to 150 per side range.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • A 40 Act ETF can run measured gross of about 2.6x with no prime broker and no Reg T limit. Exposure comes from futures and swaps under Rule 18f-4, posted against Treasury bills and cash.
  • This matches two of Tidal's suggested paths in fund_context.md: more leverage through futures (S2, S12) and swaps (S7). It sidesteps Tidal's "100-100" view (O13), which applies to direct shorting.
  • It joins WTLS, WTAL and NTRL in fund_context.md as precedents that pass 2.0x through swaps. WSLS is the small-cap sibling of WTLS and uses the same AlphaBeta models and NIMNA team. Unlike WTLS's documents, WSLS's holdings give a measured gross figure.
  • For a pure 150/150 neutral book, the same idea would mean swaps on both legs ("Total return swaps" in fund_context.md), with no futures, since we want no market beta.
  • Its short book ran well under target. That may reflect limits on what counterparties will provide at this size, or a model choice. The documents don't say which (my inference). Worth asking, since our plan depends on a full 150% short.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: BNY holds the Treasury bills and cash. The longs and shorts are synthetic, so nothing needs to sit "away" from the custodian except margin and swap collateral. This avoids the custody problem Tidal raised (O10, O11), but the documents don't say where swap collateral is held.
  • Costs: the 0.88% unitary fee excludes interest, and swap financing has no line anywhere. The true cost of the overlay will sit inside swap returns. This is the "hidden swap costs" trap in fund_context.md. Short dividends of about 0.54% a year (my arithmetic) also sit there.
  • Using the fund_context.md notation, WSLS's measured overlay would cost about $98 × L + $70 × S per $100 above the base rate (my arithmetic), plus futures roll cost on $90. Our 150/150 via swaps would cost $150 × L + $150 × S.
  • Transparency: WisdomTree publishes every stock inside the swaps, with weights, in its daily holdings file (WSLS-HD). This answers the concern Tidal raised (O8) that a swap-built book hides the stock list. It does not show the swaps' counterparties or terms.
  • Trading: at $2.5 million, the fund trades at a 1.22% median spread and a -1.5% discount (WSLS-WEB, page 3). A new 150/150 fund would face the same early liquidity cost until it grows (my inference).

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• What the holdings weights are measured against, and what the web page's 90.00% Equities group weight means.
• Whether the futures are 90% of net assets, as shown, or about 101.7%, as their listed market value implies.
• Swap counterparties, swap type (single-stock, basket or custom index), and the financing spreads on each leg.
• Where swap collateral and futures margin are held, and whether BNY holds swap collateral under a control agreement. The futures clearing broker.
• Which Rule 18f-4 VaR test WSLS uses and its reference index.
• Why WSLS is carved out of the SAI's 10% borrowing expectation, and whether it plans to borrow.
• Beta, and returns beyond the -0.81% since inception to October 31, 2026.
• Part C lists no swap, futures clearing or AlphaBeta agreement among the filed exhibits (WSLS-PC, pages 1 to 8, Item 28). So the exhibits won't fill the counterparty or collateral gaps.

Upcoming sources:

• Semi-annual financial statements for the period ending December 31, 2026. The board's approval basis for the advisory and sub-advisory agreements "will be available in the Trust's Semi-Annual Financial Statements" for that period (WSLS-PR, pages 184 and 185). These should include a schedule of investments listing swaps and counterparties (my inference). They come before the first audited statements for the period ending June 30, 2027 (WSLS-SAI, page 308).
• Form N-PORT. Not yet public. The first public report would cover December 31, 2026 at the latest (my inference, from memory of SEC rules, not checked).

Questions to ask:

• To WisdomTree: Why were overlay shorts about 70% on November 10, 2026, against a stated "approximately 90%"? Is that a model choice or a limit from counterparties or borrow?
• To WisdomTree: What does the 90.00% Equities group weight on the web page measure? What base are the holdings weights measured against?
• To WisdomTree: Why do the futures use the Russell 2000 when the stated benchmark is the S&P SmallCap 600? Why is their listed market value about 101.7% of total assets when their weight is 90%?
• To WisdomTree: Who are the swap counterparties? Are the swaps on single stocks, baskets or a custom index? What spreads are paid on long and short legs?
• To WisdomTree: Why is WSLS excluded from the 10% borrowing expectation in the SAI (WSLS-SAI, page 211)?
• To Tidal: Would Tidal's board and trading team support a both-legs swap structure like WSLS's overlay, sized at 150/150? Which VaR test would apply?
• To BNY or Tidal's custodian: Can swap collateral stay at the custodian under a tri-party or control agreement?

Search terms tried for fields left "Not stated":

• Prime broker and counterparties: prime broker, counterparty, Goldman, Morgan Stanley, JPMorgan, BNP, UBS, Barclays, Macquarie, Citigroup, ISDA, futures commission, clearing broker. A full-text search of the filing (including Part C) found the bank names only in other funds' broker and shareholder tables.
• Margin and collateral: margin, Regulation T, portfolio margin, segregat, tri-party, triparty, control agreement, pledge, 17f-6.
• Leverage cost and short dividends: short sale, sold short, borrow fee, swap, total return swap, interest expense, line of credit, asset coverage, reverse repurchase, box spread.
• VaR test: 18f-4, value at risk, relative VaR, absolute VaR, reference portfolio, designated reference portfolio, derivatives risk manager, limited derivatives user, limited extent.
• Commodity pool: Rule 4.5, commodity pool.
• Fund details: CUSIP, net assets, NAV, Morningstar, beta, predecessor, reorganiz, 351, brokerage commissions, portfolio turnover, fiscal year.
• WSLS-WEB and WSLS-HD were read in full. Neither names a counterparty, clearing broker or beta.

14. Documents used

Page numbering.

• WSLS-WEB: no printed page numbers. Citations use PDF pages 1 to 13. The browser printout splits some tables across pages: the holdings summary runs over pages 8 to 10.
• WSLS-HD: cited by row number in the file. Rows 1 to 3 are the title, a blank line and the header. Rows 4 to 6 are cash and Treasury bills, rows 7 to 273 are stocks and row 274 is the futures line.
• WSLS-DK: printed slide numbers equal PDF page numbers from page 2. Page 1 has no number.
• WSLS-IC: printed numbers equal PDF page numbers from page 2. Page 1 has no number.
• WSLS-PR: PDF page 1 is the Form N-1A facing sheet. PDF pages 2 and 3 are the prospectus cover and contents. From there, PDF page = printed page + 2. WSLS's own summary is PDF pages 87 to 93 (printed 85 to 91). Other funds' summaries were skipped. Text-version passages were mapped to PDF pages through the printed page footers.
• WSLS-SAI: PDF page 207 is the SAI cover and 208 the contents. From PDF page 209, PDF page = printed page + 208.
• WSLS-PC: cited by Part C's own printed page numbers, 1 to 21. PDF page = Part C page + 313 (my arithmetic, not checked against the PDF).

15. Snapshot sources

• Ticker: WSLS-DK, page 1, cover; WSLS-WEB, page 1.
• Fund name: WSLS-DK, page 1, cover; slide footers on pages 2 to 20; WSLS-PR, page 2. The web page and holdings file spell it "Smallcap" (WSLS-WEB, page 1; WSLS-HD, row 1).
• As of date: "Product Overview As of 11/11/2026" (WSLS-WEB, page 2), the date of the fund overview and the holdings file (WSLS-HD, row 4). Exposure figures are as of November 10, 2026 and portfolio characteristics as of November 9, 2026 (WSLS-WEB, pages 4 and 8).
• Adviser: WSLS-PR, page 92, "Management".
• Platform: WSLS is a series of WisdomTree Trust, and every fund in the trust's filing is a WisdomTree fund (WSLS-PR, page 2, cover; WSLS-SAI, page 209). Own trust (my inference).
• Exchange: "Texas Stock Exchange LLC (“TXSE”): WTAL and WSLS" (WSLS-PR, page 2, cover); "Exchange TXSE" (WSLS-IC, page 3, "Quick Facts").
• Inception: "Inception Date 10/8/2026" (WSLS-DK, page 9, "Key Fund Facts"; WSLS-WEB, page 2); "commenced operations on October 8, 2026" (WSLS-PR, page 87, "Portfolio Turnover").
• Net assets: "Total Assets (000) $2,524.76", as of November 11, 2026 (WSLS-WEB, page 2, "Fund Overview"). The page gives total assets, not net assets. NAV $25.248 times 100,000 shares is $2,524,800 (my arithmetic; WSLS-WEB, pages 2 and 3), which matches.
• Strategy type: (my inference). The fund keeps full small-cap market exposure and adds a long/short overlay ("seeks full participation in the market", WSLS-IC, page 1). Measured net exposure was about 118% (see Net), so it is not equity market neutral.
• Long %: Equities long 98.33% plus Equity Futures 90.00%, as of November 10, 2026 (WSLS-WEB, pages 8 and 10). 188.33% (my arithmetic), rounded to 188. The holdings file gives 188.52% on November 11, 2026 (my arithmetic; WSLS-HD, rows 7 to 274).
• Short %: Equities short -70.48%, as of November 10, 2026 (WSLS-WEB, page 8). Rounded to 70. The holdings file gives 69.97% on November 11, 2026 (my sum; WSLS-HD, rows 7 to 273).
• Gross: 188.33% plus 70.48% is 258.81%, or 2.59x (my arithmetic). Uses the stated 90.00% futures weight. Using the futures' listed market value instead (101.7% of total assets) gives about 2.70x (my arithmetic). See section 5.
• Above 2.0x: Yes, based on 2.59x gross (my arithmetic). Also true on every reading in section 5.
• Net: 188.33% minus 70.48% is 117.85% (my arithmetic), rounded to 118%. About 130% using the futures' listed market value (my arithmetic).
• Short method: "The long/short U.S. small-capitalization equity strategy exposure generally will be achieved through the use of derivative instruments, including, but not limited to, swaps." (WSLS-PR, page 88, "Principal Investment Strategies of the Fund"). The holdings file lists short stocks with no share count or market value, consistent with swaps (my inference; WSLS-HD, rows 7 to 273).
• Prime broker or counterparty: no firm is named. Counterparties are mentioned only in general terms (WSLS-PR, page 90, "Counterparty Credit Risk"). No counterparty appears in WSLS-HD or WSLS-WEB.
• Custodian: "BNY serves as the primary custodian for each Fund's assets" (WSLS-SAI, page 281, "Administrator, Custodian, Transfer Agent and Securities Lending Agent").
• Management fee: WSLS-PR, page 87, "Fees and Expenses of the Fund"; WSLS-SAI, page 269. Unitary (WSLS-PR, page 183).
• Total expense ratio: "Total Annual Fund Operating Expenses 0.88%" (WSLS-PR, page 87); "Fund Expense Ratio 0.88%" (WSLS-DK, page 9); "Expense Ratio 0.88%" (WSLS-WEB, page 2). No waiver line.
• Short costs in expense ratio: the unitary fee excludes "(viii) interest and taxes of any kind or nature" (WSLS-SAI, page 269, "Investment Advisory and Other Services"). The fee table has no line for short or derivatives costs (WSLS-PR, page 87).
• 3-month return: not available. The web page shows "N/A" for 3 months to October 31, 2026. Only a since-inception return of -0.81% at NAV is given (WSLS-WEB, page 4).
• 1-year return: not available, as above.
• Beta: not given in any of the six documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: Total return swaps: "generally will be achieved through the use of derivative instruments, including, but not limited to, swaps." (WSLS-PR, page 88). The summary says "swaps" without naming the type; the SAI permits "equity and basket swaps, and total return swaps." (WSLS-SAI, page 215). The holdings show synthetic stock exposure, with only Treasury bills and cash held (my inference; WSLS-HD, rows 4 to 273). Index futures: 18 long E-mini Russell 2000 December 2026 contracts (WSLS-HD, row 274), shown as 90.00% (WSLS-WEB, page 10). "For every $100 invested, the Fund seeks to invest approximately $90 in U.S. small cap futures." (WSLS-DK, page 10). The prospectus does not name futures for WSLS (WSLS-PR, page 87).
• Leverage cost: the fund uses swaps and futures, and no document reports their financing cost. No financial statements exist yet; the first are semi-annual statements for the period ending December 31, 2026 (WSLS-PR, pages 184 and 185).
• Short dividend expense: not stated. Shorts are held through swaps, so any dividend cost would be inside swap returns (my inference). An estimate from the short book's 0.76% dividend yield is about 0.54% of net assets a year (my arithmetic; WSLS-WEB, pages 4 and 8). See section 6.
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 23 of 27, as of November 11, 2026.
• Long/short: Partly. Small-cap futures plus a long/short overlay (WSLS-PR, page 87); 188.33% long and 70.48% short on November 10, 2026 (WSLS-WEB, pages 8 to 10; my arithmetic).
• Portfolio margin: NO. The fund's only physical holdings were Treasury bills and cash on November 11, 2026; the stock positions are synthetic (WSLS-HD, rows 4 to 273) (my inference).
• Cross-collateral: Not stated. Treasury bills and cash serve as "collateral or margin" for swaps and other derivatives (WSLS-PR, page 88). Where they sit is not stated.
• Outside Reg T: No. Exposure comes through swaps and futures, not a margin account (WSLS-PR, page 88) (my inference).
• Short costs (includes dividends): Not stated. No document reports swap financing, and no financial statements exist yet (WSLS-PR, pages 184 and 185).
• Over 2.0x: Yes. 2.59x on November 10, 2026 (WSLS-WEB, pages 8 to 10; my arithmetic).
• Tidal: No. The fund is a series of WisdomTree Trust (WSLS-PR, page 2, cover).
• Score: 1.5 (my arithmetic).

16. Fund Documents

Web page and holdings

WSLS - WisdomTree Efficient Long_Short U.S. Smallcap Equity Fund _ WisdomTree.pdf

!WSLS.csv

Decks

Prospectus & SAI