I was wondering if someone could tell me what I am doing wrong on calculating the NAV (or theoritical price) for XLE... I've attached a spreadsheet with my calculations... (basically I'm just multiplying last price of a stock and the index weight (as a percent)... I'm getting a # aroung 65$ when XLE is more like $58... THANKS!
That's not how you calculate NAV. You are assuming that the portfolio weight is proportional to the number of shares held by the fund, which is not the case. ETFs are value weighted, not price weighted. (Except DIA which is based on the price-weighted Dow Jones index.) The NAV is the number of shares of each holding multiplied by the market price at close, plus any cash assets, minus any cash liabilities. These can all be estimated from recent SEC filings, but only very approximately. The best way to estimate NAV is to take the daily percent change in each stock, multiply by its percentage weight in the fund, add that all up, and divide by 100, giving you the percentage change in the fund's NAV. Then multiply that by the previous day's NAV and you'll get a good approximation of today's NAV. The reason you should work off the previous day's NAV rather than value the fund from the ground up is because you have no way of knowing what changes the fund has made since the most recent filing, such as rebalances, advisor fees, cash allocations, etc. You minimize the effect of those variables by working off yesterday's NAV, which is a known quantity. Also be aware that ETFs publish their current "intraday indicative value," which is an unoffical NAV, every 15 seconds. You can find delayed data on AMEX web site or pay for a real time data feed. Here's XLE's IIV: http://www.amex.com/?href=/etf/prodInf/EtPiPerf.jsp?Product_Symbol=XLE Martin