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I Fund
- Thread starter Red Pill Market Analyst
- Start date
sugarandspice
Well-known member
EAFE says +.488 today. And the predictions are.........
Soldat
Member
If they take the whole 10 cents today then we will finish down 1-2 cents.
Today MSCI took into factor all of the dollars losses from noon to noon from what I see. We see this from france finishing down .035 in local currency and up .962 in USD which are about what the dollar traded down to.
Of course, they may not take the whole 10 cents back and/or they could just revalue it again. We could finish down or up. No way to know *pulls out the magic 8-ball*
Today MSCI took into factor all of the dollars losses from noon to noon from what I see. We see this from france finishing down .035 in local currency and up .962 in USD which are about what the dollar traded down to.
Of course, they may not take the whole 10 cents back and/or they could just revalue it again. We could finish down or up. No way to know *pulls out the magic 8-ball*
Last edited:
sugarandspice
Well-known member
Today's I fund mystery payout is............Flatline........zero..... no up no down
Re: Am I missing something here?
I am new to I fund and not sure how do you calculate the returns based on the EFA market close price. On 15th, you and Gilligan calculated the I fund was up $0.0515659 based on EFA gained 0.273. I calculated it as following and ended up with $0.08:
On March 14, the I fund close price is $18.89, and EAFE is $63.95, so it should be: ($18.89 x $0.273)/$63.95 = $0.08
There are some other questions: what are the I fund adjustment day and correction day? How did the additional 10 cents add to the I fund on 15th? Could you please explain a little more? I get confused.
Thanks!
Wheels said:
I am new to I fund and not sure how do you calculate the returns based on the EFA market close price. On 15th, you and Gilligan calculated the I fund was up $0.0515659 based on EFA gained 0.273. I calculated it as following and ended up with $0.08:
On March 14, the I fund close price is $18.89, and EAFE is $63.95, so it should be: ($18.89 x $0.273)/$63.95 = $0.08
There are some other questions: what are the I fund adjustment day and correction day? How did the additional 10 cents add to the I fund on 15th? Could you please explain a little more? I get confused.
Thanks!
...Spaf
Gilligan
Member
Re: Missin' Som thang
Spaf,
I'm still missing something. I am use to the TSP adjusting the I-fund 1 or 2 cents a day, but 10 cents in one day! How often do they adjust the return 10 cents or more a day? Also, when do they figure the Dollar vs. local currency exchange? Is is at the close of each international market or is it about 1500 ET when MSCI post the returns?
Spaf,
I'm still missing something. I am use to the TSP adjusting the I-fund 1 or 2 cents a day, but 10 cents in one day! How often do they adjust the return 10 cents or more a day? Also, when do they figure the Dollar vs. local currency exchange? Is is at the close of each international market or is it about 1500 ET when MSCI post the returns?
Spaf
Honorary Hall of Fame Member
Gilligan,
I don't know the answer. I consider it a spookey fund with a double edge sord (pricing and $). My opinion using risk vs strength, if the I-fund has a strength ratio of 40, I'll go 50% of that. The reason I say this is because it's an international fund and when I compare it to other internationals i.e., [EWZ], there is sizable risk in EFA, considering that we are dealing with retirement accounts with a 1-2 day transfer. This is just my opinion, and I'm a bit conservative....Rgds, and be careful!....
.....Spaf
I don't know the answer. I consider it a spookey fund with a double edge sord (pricing and $). My opinion using risk vs strength, if the I-fund has a strength ratio of 40, I'll go 50% of that. The reason I say this is because it's an international fund and when I compare it to other internationals i.e., [EWZ], there is sizable risk in EFA, considering that we are dealing with retirement accounts with a 1-2 day transfer. This is just my opinion, and I'm a bit conservative....Rgds, and be careful!....
.....Spaf
D
Dave M
Guest
Volatility is inherent in the I-fund. To me that means you have to give it time for the swings to play out -- jumping in and out is riskier here than anywhere else.
However, for this reason the I-fund correlates least well with our other funds, and this makes it the ideal candidate for diversification within one's portfolio. A portfolio of only G and only I is max-diverse.
So to me there are two parts to making money in the I-fund. One, you must have some; and two, you must hold it.
How much to have? How long to hold it? I can only speak for myself. The I-fund is (or soon will be ) my single largest holding. I intend to hold it indefinitely. Over the last two years it is up by around 40%. So a 2-year horizon is a good start.
Dave
However, for this reason the I-fund correlates least well with our other funds, and this makes it the ideal candidate for diversification within one's portfolio. A portfolio of only G and only I is max-diverse.
So to me there are two parts to making money in the I-fund. One, you must have some; and two, you must hold it.
How much to have? How long to hold it? I can only speak for myself. The I-fund is (or soon will be ) my single largest holding. I intend to hold it indefinitely. Over the last two years it is up by around 40%. So a 2-year horizon is a good start.
Dave
Re: Missin' Som thang
Check out this post of mine from another thread
http://www.tsptalk.com/mb/showpost.php?p=37666&postcount=109
Dave
<><
Gilligan said:
Check out this post of mine from another thread
http://www.tsptalk.com/mb/showpost.php?p=37666&postcount=109
Dave
<><
Gilligan
Member
I fund fair value adjustment
Thanks Wheels,
I don't trust that EFA chart on the bottom of the page. I like to check Bloomberg to watch the international markets and currency rates. That morning before the adjustment Soldat and Myself were figuring the I-fund to be up about a half percent. My main concern is the amount of adjustment. Has there been an adjustment of 10 cents or greater in the history of the I-fund?
http://www.tsptalk.com/mb/showpost.php?p=39868&postcount=347
http://www.tsptalk.com/mb/showpost.php?p=39898&postcount=348
Thanks Wheels,
I don't trust that EFA chart on the bottom of the page. I like to check Bloomberg to watch the international markets and currency rates. That morning before the adjustment Soldat and Myself were figuring the I-fund to be up about a half percent. My main concern is the amount of adjustment. Has there been an adjustment of 10 cents or greater in the history of the I-fund?
http://www.tsptalk.com/mb/showpost.php?p=39868&postcount=347
http://www.tsptalk.com/mb/showpost.php?p=39898&postcount=348
Soldat
Member
EFA has seemed to drift far from the actual MSCI EAFE lately, and has thus become an entirely separate entity.
First, its obvious that MSCI has to account the dollar-strength fluctuation up until the close of the European Markets. It is my belief that when all of the European markets are closed, the MSCI EAFE closes. Which makes perfect sense to me, MSCI is open when it's composite markets are open.
Second, there is no set limit to what TSPolice can or cannot adjust. It all depends on how large of a gain/loss the dollar makes after MSCI EAFE closes. On that particular day, the dollar fell ~.5% to the Y&E after EAFE close.
The reason why they want to adjust this data for that exact day is that traders will be using this data the next business day, knowing that they will have .5% gain/momentum on the I fund. And many more would sell that next day, thus watering down the gains for the buy/hold investors.
Anyways, thats just my take on it.
First, its obvious that MSCI has to account the dollar-strength fluctuation up until the close of the European Markets. It is my belief that when all of the European markets are closed, the MSCI EAFE closes. Which makes perfect sense to me, MSCI is open when it's composite markets are open.
Second, there is no set limit to what TSPolice can or cannot adjust. It all depends on how large of a gain/loss the dollar makes after MSCI EAFE closes. On that particular day, the dollar fell ~.5% to the Y&E after EAFE close.
The reason why they want to adjust this data for that exact day is that traders will be using this data the next business day, knowing that they will have .5% gain/momentum on the I fund. And many more would sell that next day, thus watering down the gains for the buy/hold investors.
Anyways, thats just my take on it.
SkyPilot
Well-known member
FROM THE TSP WEBSITE:
Barclays EAFE Index Fund —
The Barclays fund holds common stocks of all the companies represented in the EAFE index in virtually the same weights that they have in the index. The return on the Barclays fund (and on the I Fund) will differ from that of the EAFE index on days when Barclays makes a "fair valuation" adjustment to reprice the securities held by the fund. Fair valuation adjustments are made on days when there are large movements in either U.S. equity markets or exchange rates after the foreign markets have closed. Fair valuation prevents traders from "market timing" by making investment decisions based on "stale" prices, thus diluting the re-turns of other TSP participants who invest in the I Fund.
The performance of the EAFE index fund is evaluated on the basis of how closely its returns match those of the EAFE index, without the effect of fair valuation. A portion of EAFE Index Fund assets is reserved to meet the needs of daily client activity. This liquidity reserve is invested in futures contracts on the local stock indexes of the countries in the EAFE index. These in-clude the United Kingdom’s FTSE 100, Germany’s DAX, France’s CAC 40, Australia’s ALL ORDS, Japan’s Nikkei 300, and Hong Kong’s Hang Seng.
The I Fund invests in the Barclays EAFE Index Fund by purchasing shares of the Barclays EAFE Index Fund "E," which in turn holds primarily shares of the Barclays EAFE Index Master Fund. As of December 31, 2004, I Fund holdings constituted $7.0 bil-lion of the EAFE Index Master Fund, which itself held $42.5 billion of securities.
The performance of the EAFE index fund is evaluated on the basis of how closely its returns match those of the EAFE index, without the effect of fair valuation. A portion of EAFE Index Fund assets is reserved to meet the needs of daily client activity. This liquidity reserve is invested in futures contracts on the local stock indexes of the countries in the EAFE index. These in-clude the United Kingdom’s FTSE 100, Germany’s DAX, France’s CAC 40, Australia’s ALL ORDS, Japan’s Nikkei 300, and Hong Kong’s Hang Seng.
The I Fund invests in the Barclays EAFE Index Fund by purchasing shares of the Barclays EAFE Index Fund "E," which in turn holds primarily shares of the Barclays EAFE Index Master Fund. As of December 31, 2004, I Fund holdings constituted $7.0 bil-lion of the EAFE Index Master Fund, which itself held $42.5 billion of securities.
