NTSX(90/60) corresponds to SPY and BND conversion

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HolyGrill
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NTSX(90/60) corresponds to SPY and BND conversion

Post by HolyGrill »

Yesterday:
NTSX(90/60 stock/bond etf)
-1.2%

SPY
-0.89%

BND
-0.2%

How it turned to -1.2% yesterday?

Thanks for any explanation
Tipro
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by Tipro »

NTSX delivers the returns of both 90% large cap US stock and 60% intermediate treasuries, not an average of those two things. Not sure why you think the numbers you posted are concerning.
Topic Author
HolyGrill
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by HolyGrill »

Thank you for your reply

How should I interpret -1.2% regarding SPY and BND?
BJJ_GUY
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by BJJ_GUY »

HolyGrill wrote: Wed May 12, 2021 6:16 am Thank you for your reply

How should I interpret -1.2% regarding SPY and BND?
It's probably the difference between NAV and the actual closing price. Compare against NAV to reconcile what is just trading friction (discount or premium to NAV).
aqan
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by aqan »

HolyGrill wrote: Wed May 12, 2021 6:16 am Thank you for your reply

How should I interpret -1.2% regarding SPY and BND?
Is NTSX 90% SPY or general mix of equities?
dukeblue219
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by dukeblue219 »

Tipro wrote: Wed May 12, 2021 5:19 am NTSX delivers the returns of both 90% large cap US stock and 60% intermediate treasuries, not an average of those two things. Not sure why you think the numbers you posted are concerning.
Because when you do a weighted addition of those two components you don't end up with the total change for the day. Whether that's normal for NTSX day to day I cannot say. I'm also not sure SPY and BND perfectly reflect the NTSX holdings.
BJJ_GUY
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by BJJ_GUY »

dukeblue219 wrote: Wed May 12, 2021 6:58 am
Tipro wrote: Wed May 12, 2021 5:19 am NTSX delivers the returns of both 90% large cap US stock and 60% intermediate treasuries, not an average of those two things. Not sure why you think the numbers you posted are concerning.
Because when you do a weighted addition of those two components you don't end up with the total change for the day. Whether that's normal for NTSX day to day I cannot say. I'm also not sure SPY and BND perfectly reflect the NTSX holdings.
Does the weighted average equal something closer to the daily change in NAV? That is going to be more instructive as it relates to this particular topic
muffins14
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by muffins14 »

NTSX doesn’t hold BND, so it shouldn’t be expected to track a mix Of BND and SPY. You can look up the holdings in the prospectus: equal slices of treasury futures from 2 year to 20 year treasuries. There’s no corporate bonds and no mortgage-back securities like you’d find in BND, so you shouldn’t expect the bond portion to behave the same.
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nisiprius
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by nisiprius »

Just as a practical matter, I don't necessarily understand all the reasons but in my opinion there is just nothing but frustration and grief to be had by looking at or trying to understand daily movements. All kinds of things are happening behind the scenes. One obvious one is that the "authorized participants" don't act instantly or perfectly, so if someone wants to buy or sell a lot of NTSX on a given day, things can get briefly out of whack.

If you want to figure out if NTSX is doing its job, you should look at longer periods of time. For example, because of the way leveraged ETFs work it would not be reasonable to expect it to do it perfectly.

I think the reason for investing in NSTX would be something like this:

"I want to get the results of a 60/40, continuously rebalanced portfolio of SPY and BND, multiplied by 1.5. I expect NTSX to come close to this."

We can test this by with PortfolioVisualizer.

Source

Image

The blue line is "the job we want NTSX to do." It is 90% SPY, 60% BND, -50% CASHX. That is, (60% SPY, 40% BND) rebalanced monthly and leveraged 1.5X.

The red line is "what NTSX did" i.e. the actual cumulative growth of NTSX.
Last edited by nisiprius on Wed May 12, 2021 7:33 am, edited 1 time in total.
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matjen
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Re: NTSX(90/60) corresponds to SPY and BND conversion

Post by matjen »

NTSX is leveraged. Roughly 66% holding of it would equal a 60/40 portfolio.

It is 90/60 with total notational exposure being 150%
90/150 = 60%
60/150 = 40%

So you basically have 1.5x exposure to a 60/40
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