Strategy #0000000038 · ETFs and market microstructure
Intraday relative value between same-index ETFs
Pair one ETF long and the other short for convergence; an NAV gap is not guaranteed arbitrage.
Same-index ETFs are closely related, but fees, cash holdings, sampling, FX, time zones and liquidity can create persistent differences. An intraday signal needs synchronised prices, dividend and split adjustments, executable bid/ask, borrow, impact and exit rules. NAV or iNAV may not be tradable in real time, especially across time zones.
Funds can differ in quote timing, fees and liquidity; evaluate the gap at executable bid/ask prices.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
Will a price gap between two ETFs tracking the same index converge after timing, tracking and trading costs?
Jack sees ETF A trading 0.2% above ETF B and wants to short A and buy B. Rose verifies that both track the same benchmark, share a quote window and have comparable holdings and FX exposure.
She defines a relative-return or NAV-deviation spread and subtracts both bid/asks, fees, borrow and market impact. If the difference reflects fees or holdings rather than a temporary dislocation, it need not revert.
The scenario enters an initial and assumed exit deviation, then subtracts costs. It uses no intraday prices and does not model authorised-participant creation/redemption.
- Entry relative spreadOutput is scenario points per 10,000 normalised notional units, not market history.
- Assumed exit spreadExcludes live NAV, holdings, borrow availability, quote synchronisation, creation/redemption and real fills.
- Convergence less assumed costsIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Spread_t=(P^A_t/NAV^A_t)-(P^B_t/NAV^B_t),\quad PnL=(Spread_{entry}-Spread_{exit})\cdot Notional-Costs
An actual pair may need beta, holdings, currency and volatility adjustment rather than raw share prices; this simplified equation uses a normalised relative spread.
Greeks: the directional intuition
- 追蹤差異
- Measures sensitivity to implied volatility.
- 報價同步
- Measures sensitivity to implied volatility.
- 借券／流動性
- Measures sensitivity to implied volatility.
Spread_t=(P^A_t/NAV^A_t)-(P^B_t/NAV^B_t),\quad PnL=(Spread_{entry}-Spread_{exit})\cdot Notional-Costs
Practical context · published observations
Intraday relative value between same-index ETFs: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
不含 ETF 即時 NAV、持倉、借券可用性、報價同步、申贖或真實成交。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related implementations change different assumptions.
Each row distinguishes the changed mechanism and its trade-off.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| ETF–ETF statistical arbitrage | Pair residual | Uses a historical spread model for entry and exit. | Parameter drift and structural breaks. |
| ETF–NAV arbitrage | Primary-market creation/redemption | Authorised participants use creation/redemption to address gaps. | Basket, capacity and underlying-market frictions. |
| Cross-listed ETF pair | Cross-time-zone relative value | Trades similar products on different exchanges. | Greater asynchronous-price and FX risks. |
Excludes live NAV, holdings, borrow availability, quote synchronisation, creation/redemption and real fills.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.