NTSX and slight Golden Butterfly Lever

[John34]

Hello Everyone,

I was curious about your thoughts on using NTSX to slightly lever up an approximate Golden Butterfly Portfolio without using daily reset Levered ETFs or Margin. I used AI to do these calculations, but checked them over and they seem right. For instance:

Allocations
NTSX: 31.5%
AVUV: 22.5%
ZROZ: 6%
GLD: 30%
SGOV: 10%
(Total = 100%)

Effective Exposures from NTSX
NTSX ≈ 90% equity and 60% Treasury exposure per 100% invested.
For 31.5% NTSX:
Equity =  31.5% × 0.9 = 28.35% 
Treasuries =  31.5% × 0.6 = 18.9%

Direct Exposures
AVUV: 22.5% equities
ZROZ:  6.0% LTT
SGOV: 10.0% Treasuries
GLD:  30.0% gold

Total Effective Allocation
Equities: 28.35% from NTSX + 22.5% AVUV = 50.85%
Treasuries: 18.9% from NTSX + 6.0% ZROZ + 10.0% SGOV = 34.9%
Gold: 30.0%
(Total ≈ 116%)

Weighted Average Treasury Duration
Treasury components:
NTSX  = 18.9%, duration = 7 years
ZROZ = 6.0%, duration = 25 years
SGOV = 10.0%, duration = 0.1 years
Effective Treasury Duration ≈ 8.1 years (similar effective duration as the 50/50 Golden Butterfly LTT/STT barbell)


----------------------------------------------------------------------------------------------------------------------

This ends up being a bit more equity and gold heavy and a bit less Treasury heavy than the Golden Butterfly, sort of a hybrid between the Golden Butterfly and the BelangP portfolio.

You can tweak these allocations to make the proportions between Large-Cap Growth/SCV and Equity/Treasuries even closer to the Golden Butterfly. For instance:

Allocations
NTSX: 26.5%
AVUV: 22.5%
ZROZ: 6%
GLD: 30%
SGOV: 15%
(Total = 100%)

Effective Exposures from NTSX
NTSX ≈ 90% stock and 60% Treasury exposure per 100% invested.
For 26.5% NTSX:
Equity =  26.5% × 0.9 = 23.85% 
Treasury =  26.5% × 0.6 = 15.9% 

 Direct Exposures
AVUV =  22.5% equities
ZROZ =  6.0% LTT
SGOV = 15.0% Treasuries (ultra‑short, ~0.1 yrs duration)
GLD =  30.0% gold

Total Effective Allocation
Equities:  23.85% from NTSX + 22.5% AVUV  = 46.35% 
Treasuries:  15.9% from NTSX + 6.0% ZROZ + 15.0% SGOV = 36.9% 
Gold: 30.0%
(Total ≈ 113%)

Weighted Average Treasury Duration
Treasury components:
NTSX = 15.9% (duration = 7 yrs)
ZROZ = 6% (duration = 25 yrs)
SGOV = 15% (duration = 0.1 yrs)
Effective Treasury Duration ≈ 7.1 years (similar effective duration as the 50/50 Golden Butterfly LTT/STT barbell)


You can play around with the ZROZ, Gold, and Cash %’s (and maybe also use a mix of ZROZ and TLT) to get the Treasury exposure more equal to the equity exposure like the Golden Butterfly, while keeping the effective bond duration around 7-8 years like it is for the 50/50 LTT/STT barbell (or use more ZROZ and less SGOV to increase the effective Treasury duration to balance out the heavier equity exposure).

[dualstow]

bump