etf-mechanicslisted

Why an ETF's price series does not behave like the index it tracks - daily-reset leverage, NAV vs price, distributions, holdings files and fees. TRIGGER - "why is my 3x ETF down when the index is flat", TQQQ decay, SQQQ, leveraged ETF long term, inverse ETF, volatility drag, daily reset; premium to NAV, discount to NAV, iNAV, creation/redemption, "bond ETF trading below NAV"; ETF distribution, capital gains distribution, return of capital, "ETF dropped on the ex-date", phantom drop; ETF holdings file, constituents CSV, index reconstitution, Russell rebalance, "I used today's holdings for the backtest"; expense ratio drag, tracking difference vs tracking error, "ETF returned less than the index". SKIP for downloading price series and vendor adjustment defaults (market-data-sourcing) - holdings files stay here, for UNG, USO or VIXY roll yield and contango (futures-continuous-contracts), for auditing a finished backtest (research-integrity-guards), and for weights, Sharpe or drawdown (portfolio-and-risk).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# ETF mechanics **An ETF is a fund with a share price. The index is a formula.** The two differ by five things a price series never shows: the daily reset of a leveraged product, the gap between NAV and price, cash that leaves as distributions, holdings that change, and fees. Every computed number below is printed by `scripts/leveraged_reset.py` (numpy/pandas, seed 0). Issuer and regulator facts carry the date they were read. ## 1. 🚨 "3x the index" is a one-day statement ✅ The issuer's own words (proshares.com, read 2026-09-08): TQQQ *"seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Nasdaq-100 Index"*; SQQQ is the same sentence with *"three times the inverse (-3x)"*. Both pages add: *"For any holding period other than a day, your return may be higher or lower than the Daily Target. These differences may be significant."* ✅ FINRA Regulatory Notice 09-31 (2009-06-11): *"Most leveraged and inverse ETFs 'reset' daily"*. Its example — index 100 → 101 → 100 costs an inverse ETF 0.02%; 100 → 110 → 100 costs it 1.82% — is reproduced exactly by the script (§A: −1x on "+10% then back to flat" = **−1.82%**). ### A flat year is not free — but the honest size is smaller than the folklore ✅ §B: a random 252-day path whose realized vol is pinned and whose index return is **exactly 0**: | ann. vol | 2x | **3x** | −1x | −3x | |---|---|---|---|---| | 16% (S&P-like) | −2.53% | **−7.40%** | −2.53% | −14.26% | | 25