WTLS

1. Summary

• WTLS is an actively managed, model-driven ETF. It splits its exposure roughly equally between a long-only U.S. large-cap sleeve and a long/short U.S. equity sleeve. Stocks are picked by machine learning models from a third-party provider, AlphaBeta.
• The prospectus says the long/short sleeve is typically 100% long and about 90% short, with 100 to 300 positions per side. The N-PORT for June 30, 2026 gives the measured figures. The fund was 197.7% long and 71.9% short, so 2.70x gross and 125.8% net (my arithmetic; WTLS-NP, Part C).
• It held no stocks on June 30, 2026. The long-only sleeve was E-mini S&P 500 futures (95.4% of net assets). The long/short sleeve was one total return swap with Goldman Sachs Bank USA on a custom basket of 336 longs and 229 shorts (my arithmetic; WTLS-NP, Part C). Treasury bills and a Treasury money market fund made up 99.0% of net assets and back the derivatives (my arithmetic and inference).
• Most relevant for us: WTLS shows a 40 Act ETF at 2.70x gross through a single custom-basket swap plus index futures, with no prime broker and a 0.88% fee. The swap shows a 0.00 spread on both legs, so the financing cost isn't visible in the filing or the expense ratio.

2. Key facts

Ownership: four DTC participants held 5% or more on September 30, 2026: Charles Schwab & Co. 41.32%, Axos Clearing 30.70%, Bank of America 10.50%, Apex Clearing 5.01% (WTLS-SAI, pages 309 and 311, "Appendix A").

3. Service providers

4. Strategy

• Objective and benchmark. "The WisdomTree Efficient Long/Short U.S. Equity Fund (the "Fund") seeks total return" (WTLS-PR, page 75, "Investment Objective"). No formal benchmark is named in the prospectus summary. The fact sheet compares returns with the S&P 500 Index (WTLS-FS, page 1, "Performance").
• Two sleeves. The fund invests "in accordance with both (i) a long/short U.S. equity strategy and (ii) a long-only U.S. equity strategy." "Under normal circumstances, the Fund will have approximately equal exposure to the long/short U.S. equity strategy and the long-only U.S. equity strategy" (WTLS-PR, page 75, "Principal Investment Strategies of the Fund"). The fact sheet calls the long/short sleeve "a dynamic long/short U.S. equity overlay strategy" (WTLS-FS, page 1, "Fund Overview").
• Universe. The long-only sleeve holds "a basket of equity securities of large-capitalization U.S. companies generally weighted by market capitalization or derivative instruments that provide similar exposure" (WTLS-PR, page 75). Both sleeves draw from "approximately the top 2,000 U.S.-listed companies by market capitalization" (WTLS-PR, page 76). Screens: NYSE or Nasdaq listing, share price above $20, average daily volume above $3 million over six months, and for shorts, "a borrow fee of less than 10% of the total value of the borrowed shares" (WTLS-PR, page 76). The fund had significant exposure (about 15% or more) to the Materials Sector (WTLS-PR, page 76). Mid-cap and small-cap risks are listed as principal risks (WTLS-PR, page 79).
• How it picks stocks. Quantitative. Machine learning models "developed by a third-party model provider and trained on historical data to make predictions about a security's return and/or risk" (WTLS-PR, page 76). Features cover valuation, momentum, quality, profitability, size and risk (WTLS-PR, page 76). The models analyze "more than one hundred security-specific features" (WTLS-PR, page 154). The sub-adviser "retains discretion in determining whether and how to implement any outputs generated by the model" (WTLS-PR, page 76, "Models and Data Risk").
• Neutrality targets. None stated. No beta, dollar or sector neutrality target appears.
• Net exposure. No fund-level target. The long/short sleeve is "Typically" "100% long and approximately 90% short but those percentages will vary over time as the models adapt to market conditions" (WTLS-PR, page 76). So the sleeve is about 10% net long, and the long-only sleeve adds full long exposure. The fund is net long overall (my inference).
• Rebalancing. "generally is rebalanced monthly" (WTLS-PR, page 76).
• Limits on position size. No numeric limit. The fund is non-diversified (WTLS-PR, page 79, "Non-Diversification Risk"). Fundamental policy bars more than "25% of the Fund's total assets" in one industry (WTLS-SAI, page 257, "Fundamental Policies"). Largest holding on September 30, 2026: Amazon.com at 0.75% (WTLS-FS, page 2, "Top Fund Holdings").

5. Exposure and leverage

• Measured exposure, June 30, 2026 (my arithmetic, against net assets of $11,931,684.07; WTLS-NP, Item B.1.c and Part C):

• The basket's longs, shorts and cash component add to $11,850,189 (my arithmetic). The swap's stated notional is $11,957,621.50, or 100.2% of net assets (WTLS-NP, Item C.11, "Notional amount"). The gap of about $107,000 is not explained in the filing.
• Counting the futures' unrealized gain of $321,223.32, the futures are 98.1% of net assets and gross is about 2.72x (my arithmetic).
• The largest single stock in the basket was 0.84% of net assets (my arithmetic).
• Against the prospectus. The long/short sleeve was 102.3% long and 71.9% short, against a typical "100% long and approximately 90% short" (WTLS-PR, page 76). It had 336 longs, above the stated "100-300" (WTLS-PR, page 76). The two sleeves were close to equal in size: futures at 95.4% and swap notional at 100.2% (my arithmetic).
• Which reading of "equal exposure" fits. Section 5 earlier gave two readings: each sleeve at 100% of net assets (2.9x gross) or each at 50% (1.45x). The N-PORT supports the first. The gross is lower than 2.9x because the short side was 71.9%, not 90% (my inference).
• How it gets exposure above 100%. Derivatives only. "The long/short U.S. equity strategy exposure generally will be achieved through the use of derivative instruments, including, but not limited to, swaps" (WTLS-PR, page 76). On June 30, 2026 the long-only sleeve was also in derivatives (S&P 500 futures), not stocks (WTLS-NP, Part C). The fact sheet: "The Fund's use of derivatives will give rise to leverage" (WTLS-FS, page 2, "Disclosures").
• Borrowing. No borrowings on June 30, 2026 (WTLS-NP, Item B.2.c, all zero). Policy: "Although the Funds do not intend to borrow money as part of their principal investment strategies, a Fund may do so to the extent permitted by the 1940 Act. Under the 1940 Act, a Fund may borrow up to 33% of its net assets." WTLS is not among the funds excepted from this line: "under normal market conditions, no Fund expects to borrow greater than 10% of such Fund's net assets." Borrowing is "only for short-term or emergency purposes" (WTLS-SAI, page 211, "Borrowing"). No line of credit is named.

6. Shorting, financing and collateral

• How it shorts. Through one total return swap on a custom basket ("TRS GSIINWLS INDEX") with Goldman Sachs Bank USA. The 229 shorts are basket components with negative share counts (WTLS-NP, Item C.11). No short sales appear among the fund's own holdings (WTLS-NP, Part C). The prospectus principal risk is "Short Exposure Risk": "A short exposure through a derivative exposes the Fund to counterparty, credit and leverage risks" (WTLS-PR, page 79). The longer prospectus text defines short exposure as using derivatives "to gain exposure to a short position without having to borrow the security" (WTLS-PR, page 177, "Short Exposure Risk").
• Who lends the stock and who holds collateral. The fund borrows no stock itself (my inference from WTLS-PR, page 177 and WTLS-NP, Part C). Goldman Sachs carries the short hedge. If a counterparty defaults, the fund "may experience delays in recovering the collateral or other assets held by, or on behalf of, the counterparty" (WTLS-PR, page 77, "Counterparty Credit Risk"). Where swap and futures margin sits is not stated in any document.
• What backs the derivatives, June 30, 2026 (WTLS-NP, Part C):
  • Treasury bill maturing November 5, 2026 (CUSIP 912797UM7): $5,328,549.52, 44.7% of net assets.
  • Treasury bill maturing August 6, 2026 (CUSIP 912797RG4): $5,380,506.00, 45.1%.
  • Dreyfus Treasury Obligations Cash Management (DTRXX), a money market fund: $1,099,261, 9.2%.
  • Together 99.0% of net assets (my arithmetic). Cash not in the schedule: $88,310.07 (WTLS-NP, Item B.2.f).
  • The prospectus: "The Fund may invest in U.S. Treasury securities and cash and cash equivalents to serve as collateral or margin for the Fund's investments in swap contracts and other derivatives" (WTLS-PR, page 76).
• Short sale proceeds used to buy longs. Not applicable. There are no direct short sale proceeds in a swap structure (my inference). The basket's own cash component (68.9% of net assets) may play that role inside the swap (my inference).
• Segregated or tri-party account. Not stated for swaps. The SAI mentions a "special "tri-party" custodian" only for repurchase agreements (WTLS-SAI, page 245, "Repurchase Agreements"). Uncleared OTC swaps "are subject to initial and variation margin requirements" (WTLS-SAI, page 215).
• Short sale costs (generic). The SAI says the Capital Efficient Funds, which include WTLS, "may engage in "short sale" transactions," and may bear "costs of borrowing and margin account maintenance costs" (WTLS-SAI, pages 246 and 247, "Short Sale Transactions"). This is permitted, not described as used.
• Securities lending. The fund participates in BNY's program, up to one-third of total assets (WTLS-SAI, page 246). WTLS had no lending activity from January 22 to June 30, 2026 (WTLS-SAI, page 283, footnotes 1 and 3). No holding was on loan on June 30, 2026 (WTLS-NP, Items B.4 and C.12).
• Permitted only. Options, forwards, swaptions, repurchase and reverse repurchase agreements (WTLS-SAI, pages 215, 216, 245 and 246).

7. Derivatives and Rule 18f-4

• Derivatives used, June 30, 2026 (WTLS-NP, Part C, Item C.11):
  • Total return swap with Goldman Sachs Bank USA, "TRS GSIINWLS INDEX." The reference is a "Custom Equity Basket" with identifier GSIINWLS_INDEX. The "Custom swap Flag" is Yes. The filing lists all 566 components. Notional $11,957,621.50. Unrealized gain $48,059.34 (0.40% of net assets). Termination date July 1, 2026. Upfront payments and receipts zero.
  • E-mini S&P 500 futures (ES U26), 31 contracts long, expiring September 18, 2026. Notional on trade date $11,378,564.18. Unrealized gain $321,223.32 (2.69% of net assets).
  • The prospectus: "The Fund expects to use swaps and other derivative instruments to implement its principal investment strategies" (WTLS-PR, page 77, "Derivatives Risk"). The SAI permits "equity and basket swaps, and total return swaps" (WTLS-SAI, page 215).
• Limited derivatives user or full program. Full program. Item B.9 (limited derivatives users) is blank and Item B.10 (VaR) is filled in (WTLS-NP, Items B.9 and B.10). The SAI describes the program in general terms: a derivatives risk manager and "an outer limit on fund leverage risk based on value at risk, or "VaR"" (WTLS-SAI, page 214).
• VaR test and reference portfolio. Relative VaR test. Designated index: Bloomberg 500 Index, identifier B500T (WTLS-NP, Item B.10.b). The median daily VaR, the median VaR ratio and the backtesting exceptions are blank in this copy (WTLS-NP, Items B.10.a, B.10.b.iii and B.10.c). VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level. Under the relative test, the fund's VaR may not exceed 200% of the designated index's VaR (my note on Rule 18f-4, not from WTLS's documents).
• Commodity pool status (CFTC Rule 4.5). WisdomTree Asset Management "has filed with the National Futures Association ("NFA") a notice of eligibility claiming an exclusion from the definition of commodity pool operator" under Rule 4.5, so the funds "are not subject to registration or regulation as a commodity pool" (WTLS-SAI, page 215).

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 their counsel's costs; CCO costs; extraordinary expenses; 12b-1 fees; "interest and taxes of any kind or nature"; securities lending fees; and the management fee itself (WTLS-SAI, page 269, "Investment Adviser"). Separately, the adviser receives up to 0.0044% of average daily net assets for CCO and trustee services (WTLS-PR, page 183). The adviser pays NIMNA's sub-advisory fee and AlphaBeta's license fee (WTLS-PR, page 184).
• Brokerage commissions and turnover. $404 in commissions for the period to June 30, 2026 (WTLS-SAI, page 286, "Brokerage Commissions"). Portfolio turnover 0% for the same period (WTLS-PR, page 75; WTLS-SAI, page 288). Turnover excludes in-kind trades and "Short-term securities with maturities less than or equal to 365 days" (WTLS-PR, page 203, footnote 5). The 0% fits a fund that held only Treasury bills, a money market fund and derivatives on June 30, 2026 (my inference; WTLS-NP, Part C).
• Gap between expense ratio and management fee. 0.89% minus 0.88% is 0.01% (my arithmetic). The gap is the acquired fund fees. Interest, swap spreads and short dividends sit outside both figures (my inference).
• Expense example. $91 for 1 year and $284 for 3 years per $10,000 (WTLS-PR, page 75).

9. Performance and risk

Fact sheet returns, as of September 30, 2026 (WTLS-FS, page 1, "Performance"). The table is headed "Average Annual Total Returns," but "Performance of less than one year is cumulative."

• Monthly returns from the N-PORT. 12.90%, 8.16% and -0.90% for months 1, 2 and 3 of the period ending June 30, 2026 (WTLS-NP, Item B.5.a). That is April, May and June 2026 (my inference). Compounded, about 21.0% for the quarter to June 30, 2026 (my arithmetic).
• Flows from the N-PORT. Month 1: $622.44 of shares sold and $4,398,783.03 redeemed. Months 2 and 3: none (WTLS-NP, Item B.6).
• Financial highlights. Total return 17.06% at NAV, January 22 to June 30, 2026, not annualized. Net investment income 2.71% of average net assets, annualized (WTLS-PR, page 203).
• Calendar-year returns. None. The fund "does not yet have performance history for a full calendar year" (WTLS-PR, page 80, "Fund Performance").
• Risk statistics. None given (no beta, correlation, volatility, Sharpe ratio, drawdown or capture figures).

10. History and structural changes

• Predecessor funds. None stated. Search for "predecessor" found only generic SAI text (WTLS-SAI, page 228).
• Reorganizations and 351 conversions. None. Section 351 appears only in a rule letting the trust reject creation orders that would give a buyer 80% or more of shares (WTLS-SAI, page 305, "Section 351").
• Name, ticker, adviser or trust changes. None stated.
• Portfolio manager change. Louis Mangini added "since November 2026" (WTLS-PR, page 80).
• Document dates.
  • The fact sheet data is as of September 30, 2026, before the November 1, 2026 prospectus and SAI. So it predates the Mangini addition.
  • The prospectus and SAI are dated November 1, 2026 and were filed October 28, 2026 as Post-Effective Amendment No. 1010 (WTLS-PR, page 1).
  • No annual report was attached. The SAI incorporates the June 30, 2026 financial statements by reference (WTLS-SAI, page 207).
• Conflicts between documents.
  • Name word order: "Efficient Long/Short U.S. Equity Fund" (WTLS-FS, page 1, header; WTLS-PR, page 2) versus "WisdomTree Efficient U.S. Long/Short Equity Fund" (WTLS-FS, page 1, "Fund Overview").
  • Sleeve sizing: "a portion of investment assets" (WTLS-FS, page 1) versus "approximately equal exposure" (WTLS-PR, page 75). These can be read together; they don't clearly contradict.
  • Universe: the fact sheet says the fund "invests in a basket of equity securities of large capitalization U.S. companies" (WTLS-FS, page 2). The prospectus universe is the top 2,000 U.S. companies and lists mid-cap and small-cap risks (WTLS-PR, pages 76 and 79).

11. Principal risks

Summary list: WTLS-PR, pages 76 to 80, "Principal Risks of Investing in the Fund." The first three are prioritized; the rest are alphabetical (WTLS-PR, page 76).

• Models and Data Risk (page 76). Flags the model's "use of artificial intelligence."
• Derivatives Risk (page 77; longer text page 163). Flag: leverage and counterparties. Names swaps and "counterparty credit risk."
• Counterparty Credit Risk (page 77; longer text page 162). Flag: counterparties. Notes "a limited number of counterparties" and delays recovering collateral.
• Investment Risk (page 77).
• Market Risk (page 77).
• Shares of the Fund May Trade at Prices Other Than NAV (page 78).
• Active Management Risk (page 78).
• Cash Redemption Risk (page 78). Flag: derivatives-heavy funds tend to redeem in cash (my inference).
• Cybersecurity Risk (page 78).
• Geographic Investment Risk (page 78).
• Geopolitical Risk (page 78).
• Issuer-Specific Risk (page 78).
• Large-Capitalization Investing Risk (page 78).
• Leveraging Risk (page 79). Flag: leverage. "the use of derivative instruments, will give rise to leverage."
• Liquidity Risk (page 79). Flag: derivatives "may not always be liquid."
• Materials Sector Risk (page 79).
• Mid-Capitalization Investing Risk (page 79).
• Non-Diversification Risk (page 79).
• Short Exposure Risk (page 79; longer text page 177). Flag: shorting and counterparties. Loss "may be theoretically unlimited."
• Small-Capitalization Investing Risk (page 79).
• Tax Risk (page 79). Straddle rules on offsetting positions.
• U.S. Treasuries Risk (page 80). Tied to the Treasury collateral.

No principal risk names a prime broker or borrow recalls, which fits a swap-only short book (my inference).

12. Relevance to our fund

• How close is its structure and leverage? Partly close (my inference).
  • It is a 40 Act ETF with a 100-to-300-per-side long/short book in liquid U.S. stocks, similar to our 75 to 150 per side. On June 30, 2026 it had 336 longs and 229 shorts (WTLS-NP, Item C.11).
  • But it is not market neutral. It pairs a long-only core with a long/short overlay, so it is heavily net long (125.8% on June 30, 2026).
  • It is in WisdomTree's own trust, not on Tidal's platform.
  • fund_context.md lists WTLS at about 2.6x to 2.8x gross. The N-PORT gives 2.70x on June 30, 2026 (my arithmetic; see section 5), which matches.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • Gross above 2.0x is reachable with no stocks held at all: index futures for the core and one custom-basket total return swap for the long/short book. Reg T margin and Tidal's "100-100 is the best you can do" view in fund_context.md then don't bind, because the fund has no margin account for shorts.
  • Rule 18f-4 VaR is the binding limit instead. WTLS uses the relative test against the Bloomberg 500 Index (WTLS-NP, Item B.10.b). That works for a net-long fund. A market-neutral fund like ours may lack a suitable reference index and fall to the absolute test (20% of net assets in fund_context.md).
  • This is close to Tidal's "swap on a custom index" path (S7) in fund_context.md. WTLS's swap is a single swap on one Goldman Sachs custom basket, which the filing lists stock by stock (WTLS-NP, Item C.11).
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: the fund's own assets, Treasury bills and a money market fund, sit with BNY as the "primary custodian" (WTLS-SAI, page 281). There is no prime broker. This avoids Tidal's concern that shorts must be "custodied away." The trade-off is counterparty exposure to one bank, Goldman Sachs Bank USA.
  • Collateral: Treasury bills and a money market fund, 99.0% of net assets on June 30, 2026 (WTLS-NP, Part C). The documents don't say whether margin goes to a tri-party account at BNY or to the counterparty.
  • Costs: the 0.88% fee covers almost everything, and no interest or swap spread line appears. The swap shows 0.00 on both legs (WTLS-NP, Item C.11), so the spreads are inside the basket. Using fund_context.md, a 100/90 swap overlay costs about $100 × L + $90 × S per $100 above the base rate, on top of the futures' implied financing. Our 150/150 swap version would cost $150 × L + $150 × S. WTLS shows the "hidden swap costs" trap clearly: neither its 0.89% expense ratio nor its N-PORT shows those spreads.
  • Holdings transparency: Tidal raised the concern that "a single swap hides the holdings" (O8). WTLS's fact sheet shows only 39 holdings with tiny weights. The N-PORT does list every stock in the basket, but only in the quarterly public filing.

13. Gaps and open questions

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

• Exposure on dates other than June 30, 2026, including September 30, 2026.
• The financing spreads (L and S) inside the GSIINWLS basket, and how its cash component accrues.
• Why the basket's components add to about $107,000 less than the swap's stated notional.
• Where swap and futures margin is held: with Goldman Sachs, with the futures broker, or in a tri-party or control account at BNY. The futures broker is not named.
• The derivatives risk manager, and the median VaR and VaR ratio (blank in the public N-PORT).
• Short dividends embedded in swap returns.
• Beta and other risk statistics.

Questions to ask:

• To WisdomTree: What were WTLS's long, short and gross exposures on September 30, 2026, at the fund level?
• To WisdomTree or NIMNA: What spreads over SOFR are built into the GSIINWLS basket on the long and short legs? Do you use other swap counterparties besides Goldman Sachs?
• To WisdomTree: Is swap collateral held at BNY under a tri-party or control agreement, or posted to Goldman Sachs? Who clears the S&P 500 futures?
• To Tidal: Would Tidal's board approve a swap-based long/short book like WTLS's, with custody at the main custodian, as a route past the 100/100 ceiling?
• To Tidal: For a market-neutral fund, is there a reference index Tidal would accept for the relative VaR test?

Search terms tried for fields left "Not stated":

• Long, short and gross exposure: leverag, gross, net, exposure, Capital Efficient, Efficient Long/Short.
• Prime broker and margin type: prime broker, borrow, margin, Regulation T, portfolio margin, short sale, sold short.
• Swap counterparties: swap, counterpart, ISDA, total return swap, and bank names (Goldman, Morgan Stanley, J.P. Morgan, BNP, Citigroup, Citibank, Barclays, UBS, Merrill, Societe, Wells Fargo, Nomura, Macquarie). Bank name hits were brokerage or ownership tables, not swap counterparties.
• Leverage cost and short dividends: interest expense, dividend expense, financing, line of credit, box spread, reverse repurchase, Excluded, unitary.
• VaR test: 18f-4, value at risk, derivatives risk manager, limited derivatives user, relative VaR, absolute VaR, designated reference portfolio.
• Collateral location: segregat, tri-party, control agreement, custodian, collateral.
• Predecessor and changes: predecessor, reorganiz, 351.
• Beta and risk data: none found on the two-page fact sheet.
• The N-PORT (WTLS-NP) answered exposure, counterparty, swap type and VaR test. It has no beta, financing spread, short dividend or collateral location data.

14. Documents used

The combined file also holds Part C (PDF pages 314 to 334). It was searched for "swap," "ISDA," "prime" and the fund name, with no relevant hits, and not read.

Page numbering.

• All PR and SAI citations use PDF page numbers of the single combined file, 518fd5e6-WTLS_prospectus_SAI.pdf.
• WTLS-FS: PDF pages 1 and 2 carry no printed numbers.
• WTLS-PR: PDF page 1 is the filing cover; PDF pages 2 and 3 are the prospectus cover and contents. From PDF page 4 on, PDF page = printed page + 2. WTLS's own summary is PDF pages 75 to 80 (printed 73 to 78).
• WTLS-SAI: PDF page 207 is the cover and 208 the contents. From PDF page 209 on, PDF page = printed page + 208 (for example PDF 295 is printed 87).
• WTLS-NP: cited by Form N-PORT Item number, since the text copy has no pages.
• The PR and SAI cover 22 funds. Only shared passages and WTLS-specific passages were used.

15. Snapshot sources

• Ticker: WTLS-FS, page 1, "Fund Information" ("Ticker Symbol WTLS").
• Fund name: WTLS-FS, page 1, header ("WisdomTree" above "Efficient Long/Short U.S. Equity Fund"). Same form on WTLS-PR, page 75, summary heading. The fact sheet overview uses a different word order; see section 10.
• As of date: "All Data As of 09/30/2026" (WTLS-FS, page 1). The exposure properties (Long %, Short %, Gross, Above 2.0x, Net) and the counterparty are from the N-PORT as of June 30, 2026.
• Adviser: WTLS-PR, page 80, "Investment Adviser and Sub-Adviser."
• Platform: (my inference) WisdomTree Trust's 22 funds all have WisdomTree Asset Management as adviser (WTLS-SAI, pages 207 and 209).
• Exchange: WTLS-FS, page 1 ("Stock Exchange Cboe"); WTLS-PR, page 2 ("Cboe BZX Exchange, Inc.").
• Inception: WTLS-FS, page 1 ("Inception Date 01/22/2026").
• Net assets: WTLS-FS, page 1 ("Net Assets ($mm) $19.61"), as of September 30, 2026.
• Strategy type: (my inference) a long-only sleeve plus a long/short sleeve that is "100% long and approximately 90% short," so net long, not market neutral (WTLS-PR, pages 75 and 76).
• Long %: (my arithmetic) E-mini S&P 500 futures notional $11,378,564.18 (95.4%) plus swap basket longs $12,205,161.94 (102.3%), over net assets of $11,931,684.07, June 30, 2026 (WTLS-NP, Item B.1.c and Part C). Excludes the basket's cash component.
• Short %: (my arithmetic) swap basket shorts of $8,578,256.21 over net assets, June 30, 2026 (WTLS-NP, Item C.11).
• Gross: (my arithmetic) 197.7% plus 71.9% is 269.5%, or 2.70x, June 30, 2026 (WTLS-NP, Part C). About 2.72x if the futures' unrealized gain is added.
• Above 2.0x: Yes, based on 2.70x gross on June 30, 2026 (my arithmetic).
• Net: (my arithmetic) 197.7% minus 71.9% is 125.8%, June 30, 2026 (WTLS-NP, Part C).
• Short method: "The long/short U.S. equity strategy exposure generally will be achieved through the use of derivative instruments, including, but not limited to, swaps" (WTLS-PR, page 76, "Principal Investment Strategies of the Fund").
• Prime broker or counterparty: Goldman Sachs Bank USA, counterparty on "TRS GSIINWLS INDEX," June 30, 2026 (WTLS-NP, Item C.11.b). No prime broker appears in any document. The futures list Chicago Mercantile Exchange as counterparty; the clearing broker is not named (WTLS-NP, Item C.11.b).
• Custodian: "BNY serves as the primary custodian for each Fund's assets" (WTLS-SAI, page 281).
• Management fee: WTLS-PR, page 75, fee table ("Management Fees 0.88%"); WTLS-SAI, page 268.
• Total expense ratio: WTLS-PR, page 75 ("Total Annual Fund Operating Expenses 0.89%"), including 0.01% acquired fund fees; WTLS-FS, page 1 ("Net Expense Ratio 0.89%"). No waiver.
• Short costs in expense ratio: the fee table has no line for short dividends, interest or swap financing (WTLS-PR, page 75). The financial highlights show 0.88% expenses and no interest line for the period to June 30, 2026 (WTLS-PR, page 203).
• 3-month return: 2.72% at NAV, quarter to September 30, 2026 (WTLS-FS, page 1, "Performance," "QTR").
• 1-year return: "N/A" for 1-Year at September 30, 2026; the fund began January 22, 2026 (WTLS-FS, page 1, "Performance").
• Beta: not given in any of the four documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: on June 30, 2026 the fund held no stocks. The long/short book was one total return swap on a custom equity basket, and the long-only sleeve was E-mini S&P 500 futures (WTLS-NP, Part C, Item C.11). The prospectus: the long/short exposure "generally will be achieved through the use of derivative instruments, including, but not limited to, swaps" (WTLS-PR, page 76). The earlier value, "Stocks plus swap overlay," assumed a physical long-only sleeve, which the N-PORT doesn't show.
• Leverage cost: the swap's receive leg has a floating rate spread of 0.00 and its pay leg a fixed rate of 0.00% (WTLS-NP, Item C.11). The financial highlights show expenses of 0.88% and no interest line, period January 22 to June 30, 2026 (WTLS-PR, page 203).
• Short dividend expense: not reported. Shorts are held through the swap (WTLS-PR, page 79, "Short Exposure Risk"; WTLS-NP, Item C.11), so any dividends owed on the short leg would also sit inside swap returns (my inference).
• 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: 22 of 27, as of November 11, 2026.
• Long/short: Partly. A long-only sleeve plus a long/short sleeve (WTLS-PR, page 75); 197.7% long and 71.9% short on June 30, 2026 (WTLS-NP, Part C; my arithmetic).
• Portfolio margin: NO. The fund held no stocks on June 30, 2026. Shorts sat inside one total return swap with Goldman Sachs Bank USA (WTLS-NP, Part C, Item C.11).
• Cross-collateral: Not stated. Treasury bills and a Treasury money market fund back the derivatives (WTLS-NP, Part C). Where margin sits is not stated.
• Outside Reg T: No. Exposure comes through a swap and futures, not a margin account (WTLS-NP, Part C) (my inference).
• Short costs (includes dividends): Not stated. The swap shows a 0.00 spread on both legs, so financing is not visible (WTLS-NP, Item C.11).
• Over 2.0x: Yes. 2.70x on June 30, 2026 (WTLS-NP, Part C; my arithmetic).
• Tidal: No. The fund is a series of WisdomTree Trust (WTLS-PR, page 2, cover).
• Score: 1.5 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus & SAI