Wisdomtree, Inc. · NYSE:WT
Wisdomtree — Investor Presentation (February 2016)
15 slides from Wisdomtree's investor presentation, February 2016
Slide 1: The WisdomTree PutWrite Strategy Fund (PUTW) and PutWrite Index (PUT)
The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite Index (PUT) February, 2016 FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY.
Slide 2: WisdomTree CBOE S&P 500 PutWrite Strategy Fund
WisdomTree CBOE S&P 500 PutWrite Strategy Fund Investment Objective: The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) seeks investment results that, before fees and expenses, generally correspond to the performance of the CBOE S&P 500 PutWrite Index (PUT). Investment Strategy: PUTW invests
Slide 3: CBOE S&P 500 PutWrite Index (PUT) Methodology
CBOE S&P 500 PutWrite Index (PUT) Methodology Strategy: The CBOE S&P 500 PutWrite Index (PUT) tracks the value of a passive investment strategy consisting of S&P 500 Index (SPX) short put options overlaid on a money market account invested in one and three months Treasury bills (aka the “treasury ac
Slide 4: Why PUT? Complementary to S&P 500 and Potential for Higher Risk Adjusted Returns
Why PUT? Complementary to S&P 500 Index and Potential for Higher Risk Adjusted Returns Complementary to S&P 500 Index with Potential for Higher Risk Adjusted Returns Historically PUT, the index PUTW tracks, had lower risk than the S&P 500 over the period: • PUT had over 97% of the return of the S&P
Slide 5: PUT Index: Compelling Risk & Return Characteristics
PUT Index: Compelling Risk & Return Characteristics Annualized Returns Annualized Standard Deviation 8.00% 20.00% 16.10% 5.80% 5.95% 16.00% Average Annualized Return 12.19% 12.34% Standard Deviation 12.00% 4.00% 3.76% 8.00% 4.00% 0.00% 0.00% BXM Index PUT Index S&P 500 Index BXM Index PUT Index S&P
Slide 6: PUT Index Historically Provides a Measure of Downside Protection
PUT Index Historically Provides a Measure of Downside Protection PUT Index outperformed 95% of the time when the S&P 500 Index experienced a daily negative return and 90% of the time during a negative monthly return Negative Positive Negative Positive Return Stream Return Stream Return Stream Return
Slide 7: Over 75% of PUT Index Returns Between 0% to 4%
Over 75% of PUT Index Returns Between 0% to 4% Compared to Only 46% of Returns for S&P 500 Index 50% Histogram of Monthly Returns 40% S&P 500 Index PUT Index Return Percentage 30% 20% 10% 0% < -16% -14% to - -12% to - -10% to - -8% to - -6% to -8% -4% to -6% -2% to -4% 0% to -2% 0% to 2% 2% to 4% 4%
Slide 8: Long Run Blending of PUT & S&P 500; During Crisis
Long Run Blending of PUT & During Crisis: Adding PUT Helps Lower Risk & Enhance Returns Blending PUT Index With S&P 500 Index Blending PUT Index With S&P 500 Index 6/30/2007 to 12/31/2015 Peak Of Financial Crisis: 05/19/2008 - 03/09/2009 8.0% -42.0% Put Index 100% -44.0% 7.0% Put Index -46.0% 90% Pu
Slide 9: Blending PUT with the S&P 500 Index Lowered Portfolio Beta
Blending PUT with the S&P 500 Index Lowered Portfolio Beta 1.10 1.00 1.00 0.97 0.93 0.90 0.90 0.86 Beta vs. S&P 500 Index 0.83 0.80 0.80 0.76 0.73 0.70 0.70 0.66 0.60 0.50 CBOE S&P 500 S&P 500 10% / S&P 500 20% / S&P 500 30% / S&P 500 40% / S&P 500 50% / S&P 500 60% / S&P 500 70% / S&P 500 80% / S&P
Slide 10: Writing Puts Should Equal Covered Calls From Options Theory
Writing Puts Should Equal Covered Calls From Options Theory But Historically Put-Writing Had More Option Premiums Employing either a covered call or put-writing strategy should offer a similar payout structure But, monthly premiums for PUT Index averaged 2.17% over the period, 0.20% higher than the
Slide 11: Option Premiums are a Primary Driver of Returns
Option Premiums are a Primary Driver of Returns 8% 80.00% Monthly Gross Premium Percentage 7% 70.00% 6% 60.00% Realized Volatility Implied Volatility 5% 50.00% Gross Premium Percentage 4% 40.00% 3% 30.00% 2% 20.00% 1% 10.00% 0% 0.00% Jun-07 Oct-08 Mar-10 Jul-11 Dec-12 Apr-14 Dec-05 Dec-06 Dec-07 Dec
Slide 12: Calendar Year Return Comparison
Calendar Year Return Comparison 50% 42% 39% 40% 32% 32% 29% 30% 26% 27% 22% 20% 20% 16% 16% 15% 15% 14% 12% 9% 8% 10% 6% 6% 6% Percentage 2% 1% 0% -10% -20% Gross Premiums -30% -27% S&P 500 Index -40% -37% PUT Index -50% 2008 2009 2010 2011 2012 2013 2014 2015 Source: WisdomTree, CBOE, 12/31/08-12/3
Slide 13: Fund Mechanics
Fund Mechanics The Fund sells “at the money” European style S&P 500 Index put options on a monthly basis. • The Fund writes “at the money” options to obtain sufficient liquidity • The Fund uses European style options, so they can only be exercised at maturity Between roll dates, if money flows into
Slide 14: Definitions
Definitions S&P 500 Index (SPX): Market capitalization-weighted benchmark of 500 stocks selected by the Standard and Poor’s Index Committee designed to represent the performance of the leading industries in the United States economy. CBOE S&P 500 PutWrite Index (PUT): index that measures the perform
Slide 15: Risks and Important Disclosures
Risks and Important Disclosures Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus containing this and other important information, call 1-866-909-WISE (9473) or visit wisdomtree.com. Read the prospectus ca