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Explorer ○

ETF fair value & price/fair value - where are they?

 

M* yesterday announced that as of Aug. 23 Fair Value estimates are being calculated for 96% of all U.S. domiciled equity ETFs. (ETF Specialist article).

Where can this data be found?  Not anywhere on the pages for specific ETFs, as far as I can tell.

Moreover, the article gives examples of the most undervalued and overvalued ETFs in terms of their Price/Fair Value ratios.  Among the most undervalued are six ETFs in the U.S. Energy category, with ratios of .58 to .67 as of Aug. 23.  (OIH, IEZ, XES, PXJ, FCG, and PSCE)

However, the ETF screener says the Price/Fair Value ratio for these six ETFs are in the range of .94 to.99.

It's one thing to announce new data but not make it readily available; it's quite another to display significantly inaccurate data.

 

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Explorer ○

Re: ETF fair value & price/fair value - where are they?

 

I have now submitted a Feedback Form on this.

In addition to what I previously  reported:

The ETF screener does show Fair Value and the Price/Fair Value ratio, but for only 179 of the 492 U.S. Equity ETFs, whereas the ETF Specialist article says Fair Value estimates are being calculated for 96% of all U.S. domiciled equity ETFs.

But, as I pointed out before, it looks like the screener's Fair Value estimates are very incorrect.

 

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Explorer ○

Re: ETF fair value & price/fair value - where are they?

 

On Sept. 16 Mstar Retail Support finally responded to my Sept. 5 Feedback Form. They thought what my feedback was about was questioning how Mstar calculates the Fair Value estimate, although it wasn’t. So we were back to square 1.

In the meantime, I have learned more, and here’s all I know:

Data purporting to be Fair Value estimates and Price/Fair Value ratios can be found in Portfolio Manager, the ETF screener, and the quote page of the Mstar version available through public libraries.

But this data is available for only 35% of U.S. domiciled equity ETFs (492 of the 1,404 U.S. , International, Sector, and Alternative Equity ETFs). The Aug. 28 ETF Specialist article said this data was being calculated for 96%; what about the other 61%?

In Portfolio Manager and the quote page of the Mstar version available through public libraries, the Fair Value estimate is always the previous day’s closing price, and the Price/Fair Value ratio is always the ratio of the price to the previous day’s closing price.  ( ! ! ! ! ! )

In the ETF screener, for the 21 ETFs I have looked at, the Fair Value estimate and Price/Fair Value ratio have remained the same since Sept. 16. But if the Fair Value estimate is valid, the Price/Fair Value ratio isn’t, because it doesn’t reflect the price.

Example (Sept. 16-19): OIH Fair Value estimate 12.32, Price/Fair Value ratio .97 according to the screener.

Sept. 16 price 14.16 / Fair Value 12.32 = 1.15

Sept. 17 price 13.43 / Fair Value 12.32 = 1.09

Sept. 18 price 13.03 / Fair Value 12.32 = 1.06

Sept. 19 price 12.89 / Fair Value 12.32 = 1.05

(Based on closing prices.)

So, of all this data being shown, the only thing that may be valid is the Fair Value estimate in the ETF screener, but I have my doubts about that too.

Instead of showing invalid data, why doesn’t Mstar just show “N/A” ?

  

 

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Contributor ○○○

Re: ETF fair value & price/fair value - where are they?

Good grief. What a mess. I was wondering about the fair value location too. 

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Explorer ○

Re: ETF fair value & price/fair value - where are they?

 

In response to the Feedback Form I submitted on Sept. 5, Mstar has said that the number of equity ETFs for which Fair Value estimates are shown in the retail website will be increased eventually, from the present 35% to 96%, in line with the Aug. 28 ETF Specialist article.

However, they have not addressed the issue of the invalid Fair Value data still being displayed for the 35% (see my most recent post above).  In fact, they have closed out this case (#02329034).  I have asked why, but have received no answer.

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Explorer ○

Re: ETF fair value & price/fair value - where are they?

 

At last the Fair Value data for equity ETFs appear to be correct in Portfolio Manager and the quote page of the Mstar website available through public libraries.  At least it is no longer the previous day's closing price.

However, it's still available for only about a third of the equity ETFs--not the 96% for which it's being calculated according to the  Aug. 28 ETF Specialist article.  And it doesn't appear on the non-public-library quote page.

And the Fair Value data in the ETF screener is still invalid; it remains the same as I described in my Sept. 29 post: "In the ETF screener, for the 21 ETFs I have looked at, the Fair Value estimate and Price/Fair Value ratio have remained the same since Sept. 16."  For example, for OIH the screener has shown a Fair Value estimate of $12.32 and a Price/Fair Value ratio of .97 ever since at least Sept. 16, regardless of the changing price, which has ranged from $10.77 to $14.27.

I said "appear to be correct" in my first sentence because my confidence in Mstar has been badly shaken by the fact that they have allowed such misleading data to be displayed since at least Aug. 29, and it continues to be displayed.  

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