COMMENTARY: Retrospective: “Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios”

Ananth Madhavan, Stephen Laipply, A. Sobczyk
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引用次数: 0

Abstract

In our original JOT paper, we described a logical approach to developing and implementing an intraday intrinsic value estimate. The approach is “bottoms up” or bond-by-bond, based on adjustments to previous quotes or trade prices for subsequent movements in the individual bond’s yield curve plus an adjustment for changes in the credit spread. Adding in accrued interest and the fund’s cash, we can then derive a portfolio level estimate of the fund’s value. In this retrospective piece, we (1) provide some new evidence about the applications of our approach; and (2) further examine the possibility that the industry coalesce around improving iNAV to reach an industry standard calculation for ETF Intrinsic Value that adjusts for staleness, as proposed in our Journal of Trading article.
评论:回顾:“提高固定收益ETF投资组合交易的透明度和效率”
在我们最初的JOT论文中,我们描述了一种开发和实现日内内在价值估计的逻辑方法。这种方法是“自下而上”或逐个债券,基于对单个债券收益率曲线后续走势的先前报价或交易价格的调整,再加上对信贷息差变化的调整。加上应计利息和基金的现金,我们就可以得出基金价值的投资组合水平估计。在这篇回顾性文章中,我们(1)提供了一些关于我们的方法应用的新证据;(2)进一步研究行业围绕改善iNAV达成行业标准计算ETF内在价值的可能性,如我们在《交易杂志》的文章中提出的那样。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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