RT Journal Article SR Electronic T1 COMMENTARY: Retrospective: “Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios” JF The Journal of Trading FD Institutional Investor Journals SP 59 OP 61 DO 10.3905/jot.2018.1.065 VO 13 IS 4 A1 Ananth Madhavan A1 Stephen Laipply A1 Aleksander Sobczyk YR 2018 UL https://pm-research.com/content/13/4/59.abstract AB 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.TOPICS: Exchange-traded funds and applications, statistical methods, mutual fund performance