Toro

TWM: An ETF Arbitrage Opportunity

I have amended this post. My original assumptions were wrong. It was suggested I go back and do the math for the daily fluctuations, so I did. The difference over the month is not 8.9% like I thought but 0.75%, which is perfectly within the expected tracking error.

I was aware that the ETF is constructed with daily fluctuations, had read the prospectus and had sat in on presentations by ETF companies. However, the dispersion seemed exceedingly wide. It is not.