Why Matt’s Right About iNAV: IPE Is Broken

June 25, 2013

It hurts me deeply to admit when Matt is right about something, but the tale of IPE proves it.


Matt argued in his blog this week that indicative net asset values are misleading so much more often than they are helpful that they should in fact not exist.

The crux of his argument is that when there are securities that aren’t trading while the ETF is trading, the iNAV throws off bad data.

But how about when iNAV is just plain wrong? That’s been the case with IPE for the better part of a month.

IPE is the SPDR Barclays TIPS ETF (NYSEArca: IPE). It’s a boring ETF. Like the name suggests, it’s 100 percent invested in TIPS, with an average duration of about six years.

It rates an “A91” in our analytics system, and while not our “analyst pick” for TIPS exposure, it rates a spot on our “opportunities list” because it’s stable, efficient and has slightly longer maturity than the competitors.

Something about it is also deeply broken if you’re looking at INAV.

Here’s the chart of how the fund trades versus its actual end-of-day NAV:



You have to squint to find days the fund closes meaningfully off of fair value.

You’d be forgiven, however, for thinking you were getting the bargain of the century if you tried to trade IPE using iNAV as your signal for fair value:

IPE iNAV Break


Something clearly happened on May 28 and, shockingly, nobody seems to have done anything about it. Lest you think this a Bloomberg error, here’s how Yahoo is displaying IPE.IV—the ETF’s intraday value—right now:


In fact, every data service I’ve checked is erroneously suggesting that IPE is at a free-money 6.5 percent discount. And if you think nobody with a screen has traded into that discount thinking they’re printing profits, I’ve got a bridge I’d like to sell you.

Matt’s right. iNAV is broken, even when it’s supposed to be working.

At the time this article was written, the author held no positions in the security mentioned. Contact Dave Nadig at [email protected].


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