G
Greg
Guest
my aunt said the i-fund will be up 6 cents today to $18.66
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Playing the I fund
- Thread starter clester
- Start date
G
Greg
Guest
$ 18.71 (up 11 cents)
Tally of them fudging the daily I-fund prices in 2006
======================================
Jan 03 Overpriced by 1.48%
Jan 04 Underpriced by 0.71%
Jan 05 Underpriced by 0.48%
Jan 06 matched MSCI
Jan 09 matched MSCI
Jan 10 matched MSCI
Jan 11 matched MSCI
Jan 12 matched MSCI
Jan 13 matched MSCI
Jan 17 matched MSCI
Jan 18 matched MSCI
Jan 19 matched MSCI
Jan 20 Underpriced by 0.498%
Jan 23 Overpriced by 0.513%
Jan 24 matched MSCI (0.165% to 0.145%)
Jan 25 matched MSCI (0.550% to 0.565%)
Jan 26 matched MSCI (0.930% to 0.888%)
Jan 27 matched MSCI (0.813% to 0.815%)
Jan 30 matched MSCI (-0.269% to -0.226%)
Jan 31 matched MSCI (0.647% to 0.607%)
Feb 01 matched MSCI (0.054% to 0.072%)
Feb 02 matched MSCI (-0.589% to -0.618%)
Feb 03 matched MSCI (-0.808% to -0.787%)
Feb 06 matched MSCI (0.054% to 0.078%)
Feb 07 Underpriced by 0.492% (-0.760% to -0.268%)
Feb 08 Overpriced by 1.047% (0.055% to -0.992%)
Feb 09 Underpriced by 0.497% (0.546% to 1.043)
Feb 10 matched MSCI (-0.652% to -0.623%)
Feb 13 matched MSCI (-0.3285 to -0.341%)
Feb 14 Overpriced by 0.698% (0.823% to 0.125%)
Feb 15 Underpriced by 0.769% (-0.653% to 0.116%)
Feb 16 Overpriced by 0.524% (0.877% to 0.353%)
Feb 17 Underpriced by 0.538 (-0.652% to -0.114%)
Feb 21 matched MSCI (on 20th MSCI = 0.0%, on 21st 0.437% to 0.430%)
Feb 22 matched MSCI (0.272% to 0.206% - this was actually a penny high but I'll let it slide)
Feb 23 matched MSCI (0.977% to 0.960%)
Feb 24 matched MSCI (0.000% to 0.041% - they could have paid a penny but maybe needed to make up for the 22nd extra penny)
Feb 27 matched MSCI (0.591% to 0.559%)
Tally of them fudging the daily I-fund prices in 2006
======================================
Jan 03 Overpriced by 1.48%
Jan 04 Underpriced by 0.71%
Jan 05 Underpriced by 0.48%
Jan 06 matched MSCI
Jan 09 matched MSCI
Jan 10 matched MSCI
Jan 11 matched MSCI
Jan 12 matched MSCI
Jan 13 matched MSCI
Jan 17 matched MSCI
Jan 18 matched MSCI
Jan 19 matched MSCI
Jan 20 Underpriced by 0.498%
Jan 23 Overpriced by 0.513%
Jan 24 matched MSCI (0.165% to 0.145%)
Jan 25 matched MSCI (0.550% to 0.565%)
Jan 26 matched MSCI (0.930% to 0.888%)
Jan 27 matched MSCI (0.813% to 0.815%)
Jan 30 matched MSCI (-0.269% to -0.226%)
Jan 31 matched MSCI (0.647% to 0.607%)
Feb 01 matched MSCI (0.054% to 0.072%)
Feb 02 matched MSCI (-0.589% to -0.618%)
Feb 03 matched MSCI (-0.808% to -0.787%)
Feb 06 matched MSCI (0.054% to 0.078%)
Feb 07 Underpriced by 0.492% (-0.760% to -0.268%)
Feb 08 Overpriced by 1.047% (0.055% to -0.992%)
Feb 09 Underpriced by 0.497% (0.546% to 1.043)
Feb 10 matched MSCI (-0.652% to -0.623%)
Feb 13 matched MSCI (-0.3285 to -0.341%)
Feb 14 Overpriced by 0.698% (0.823% to 0.125%)
Feb 15 Underpriced by 0.769% (-0.653% to 0.116%)
Feb 16 Overpriced by 0.524% (0.877% to 0.353%)
Feb 17 Underpriced by 0.538 (-0.652% to -0.114%)
Feb 21 matched MSCI (on 20th MSCI = 0.0%, on 21st 0.437% to 0.430%)
Feb 22 matched MSCI (0.272% to 0.206% - this was actually a penny high but I'll let it slide)
Feb 23 matched MSCI (0.977% to 0.960%)
Feb 24 matched MSCI (0.000% to 0.041% - they could have paid a penny but maybe needed to make up for the 22nd extra penny)
Feb 27 matched MSCI (0.591% to 0.559%)
Last edited:
The Obstacle Course.
Thanks,
Brian
Greg, have you ever detected a "pattern" to these I-fudgings? The only reason I ask is it appears you watch it rather closely, and I'm trying to understand the rationale for doing so. Are there limits to how far adjustments can be effected either way? Do they have to give back what they take before a predetermined elapsed time period (or vice-versa)?Greg said:
Thanks,
Brian
G
Greg
Guest
> have you ever detected a "pattern" to these I-fudgings?
Sorta, on days when the EAFE sufficiently changes more than the MSCI does.
> Are there limits to how far adjustments can be effected either way?
1.5% is the highest that I have seen. I think that is a lot.
> Do they have to give back what they take before a predetermined elapsed time period (or vice-versa)?
As you can see by the record for year-to-date, they "level-out" the next day or after 2 days.
I feel they do this only to discourage people from day-trading the I-fund. 1.5% can be a killer for a day trader. It would be real interesting to find out if they overprice on days when they determine they have more T$P buying I-fund than selling and then underprice on days they more T$P selling I-fund than buying.
Sorta, on days when the EAFE sufficiently changes more than the MSCI does.
> Are there limits to how far adjustments can be effected either way?
1.5% is the highest that I have seen. I think that is a lot.
> Do they have to give back what they take before a predetermined elapsed time period (or vice-versa)?
As you can see by the record for year-to-date, they "level-out" the next day or after 2 days.
I feel they do this only to discourage people from day-trading the I-fund. 1.5% can be a killer for a day trader. It would be real interesting to find out if they overprice on days when they determine they have more T$P buying I-fund than selling and then underprice on days they more T$P selling I-fund than buying.
Last edited:
Forum I-Fund Trade Statistics
Set a control group of (say) 40 traders. Then see how often those 40 executed I Fund trades, accounting for the 1 day lag for the dates of trade transaction.
Make 40=100% **The Tracker could be very useful here.**
If 10 made an I Fund trade on a given day; call it a 25% I Fund trade activity day.
Perhaps this trade activity (monitored using a simple core percentage level control group) could show what you are theorizing.
You've probably already thought of that.
Have you considered the TSPtalk I-Fund past posted trade activity as the "control group"? Perhaps this could substantiate your theory. I realize the group is small in comparison to the TSP populace, but maybe it could shed some light on your theory.Greg said:
Set a control group of (say) 40 traders. Then see how often those 40 executed I Fund trades, accounting for the 1 day lag for the dates of trade transaction.
Make 40=100% **The Tracker could be very useful here.**
If 10 made an I Fund trade on a given day; call it a 25% I Fund trade activity day.
Perhaps this trade activity (monitored using a simple core percentage level control group) could show what you are theorizing.
You've probably already thought of that.
Last edited:
Griffin
Well-known member
Folks, statistically speaking, the TSP Talk community is too small to be representative of the buying trend as a whole. In addition, I suspect we have a much higher level of market awareness and activity then the average contributor, so the buying and selling patterns are also probably not representative.
However, Greg could probably determine a correlation between over/under pricing and TSP allocation purchase days. I would not be the least bit surprised if MSCI is slightly overpricing on purchase day (do we all have the same allocation day? mine is the second Monday after the pay period end day (two weeks pay schedule) – the active duty military may be different since they get paid bimonthly – the 15th and the end of the month). On the sell side, is there a common day that monthly retirement payouts are distributed (i.e. is MSCI short changing our retirees?).
I have to believe that this would constitute fraud and therefore is not occurring, but then again, it’s only fraud if you get caught (not my personal motto – just an observation).
Greg, have you looked at this?
However, Greg could probably determine a correlation between over/under pricing and TSP allocation purchase days. I would not be the least bit surprised if MSCI is slightly overpricing on purchase day (do we all have the same allocation day? mine is the second Monday after the pay period end day (two weeks pay schedule) – the active duty military may be different since they get paid bimonthly – the 15th and the end of the month). On the sell side, is there a common day that monthly retirement payouts are distributed (i.e. is MSCI short changing our retirees?).
I have to believe that this would constitute fraud and therefore is not occurring, but then again, it’s only fraud if you get caught (not my personal motto – just an observation).
Greg, have you looked at this?
SkyPilot
Well-known member
Your answers to the I fund MSCI discrepencies "fudging" will likely be found when you factor in the gains or losses in the USD for the day.
On the days the "fudgings" occur, there also seems to be a corresponding up or down movement to the USD. This is called fair valuation, or balancing the MSCI returns with the value of the USD which eliminates using stale numbers to try to beat the market.
That is also why, over time, the various factors tend to reconcile. And, why it is almost impossible to "day trade" or "time" the I fund on a day to day basis.
On the days the "fudgings" occur, there also seems to be a corresponding up or down movement to the USD. This is called fair valuation, or balancing the MSCI returns with the value of the USD which eliminates using stale numbers to try to beat the market.
That is also why, over time, the various factors tend to reconcile. And, why it is almost impossible to "day trade" or "time" the I fund on a day to day basis.
I guess I'll just keep repeating this until someone listens. (I know it won't be you Greg).
The TSP board are not the ones doing the I fund fudging. It is Barclay's Global Investors. They manage the fund called the EAFE Equity Index Fund in which our TSP I fund money is invested.
Dave
<><
The TSP board are not the ones doing the I fund fudging. It is Barclay's Global Investors. They manage the fund called the EAFE Equity Index Fund in which our TSP I fund money is invested.
Dave
<><
Griffin
Well-known member
When MSCI posts the return at their web site, they produce that number in both local currency and US dollars, which seems to suggest that MSCI has already factored in the changes in the currency exchange rate.
Does Barclay then do some other manipulation concerning currency when they do their I fund valuation calculation?
Does Barclay then do some other manipulation concerning currency when they do their I fund valuation calculation?
Griffin said:
Usually no. However, every once in a while they apply a process known as fair valuation which I have explained earlier in this thread. They will normally "correct" this adjustment within a day or two. These fair valuation adjustments and their sunsequent corrections are the days that our I fund quote does not match the MSCI EAFE quote.
Dave
<><
Robo5555
Member
What I've noticed is that more times than not the fund goes up the day that we buy shares from our distibution allocations and then it goes down the next day or so. I don't know how much $ goes into the fund as a whole each pay period but there a lot of federal workers out there. Just an observation....I might be wrong.
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.
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.
Master
Member
7 billion was at the end of 2004, but the portion of TSP invested in the I fund has increased by over 40% since then. Furthermore, in an average account I estimate that bi-weekly investments amount to 0.5% of the TSP investment, which means 35 million in ~50 billion. Thus, it is a ripple but a significant and systematic one. It might be useful to study whether a systematic day trading strategy could get us something.
FundSurfer
Well-known member
Wonder if they will have "valuation" today
The ISHARES MSCI EAFE is down 0.67% and the dollar index is down 0.6% which means the two moves should come closer to cancelling each other out than -0.5%. I expect a better day tommorrow.
The ISHARES MSCI EAFE is down 0.67% and the dollar index is down 0.6% which means the two moves should come closer to cancelling each other out than -0.5%. I expect a better day tommorrow.
Master said:
Yes the I fund has gone up this past year but I'm sure the EAFE Equity Index Fund has gone up as well. I think your estimate of .5% every two weeks sounds way high. Furthermore, everybody invested in that fund is investing every two weeks since that fund is not open to individual investors but rather reserved for retirement accounts like ours.
Dave
<><
CheapShot
Member
Hedging the I Fund
1,000 Investors from TSPTALK.com, in a cooridinated effort, moving $100,000 (avg balance?) from each account at once into the I Fund on one day, thats 1,000,000,000 as in Billion, I would think would have a little impact on that fund. Probably illegal as #$%&, but imagine the possibilities.
1,000 Investors from TSPTALK.com, in a cooridinated effort, moving $100,000 (avg balance?) from each account at once into the I Fund on one day, thats 1,000,000,000 as in Billion, I would think would have a little impact on that fund. Probably illegal as #$%&, but imagine the possibilities.
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