Let’s take a look at the Net Asset Values of SPDR Straits Times Index ETF (“STI ETF”) over a period of time.
|NAV to STI||1.021||1.018||1.018|
Notice the close positive correlation between NAV and the STI. NAV is about 1.02 times above STI.
Latest information as at 5 March 2013 from SPDR webpage:
NAV per unit = $3.27 (which was also last price traded on SGX)
Dividend yield of stocks in STI ETF = 2.45%
STI = 3,248.26 points
NAV to STI = 1.006
If we apply 1.02 to 3,248 points (STI), calculated price of SPDR STI ETF is $3.313. Isn’t last traded price of $3.27 a bit lower than $3.313? Is there an arbitrage opportunity?
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