H Man

Troubled By ETF Tracking Failures? Try ETNs

The 35bp mangement fee is the prorated management fee since I was using a YTD figure. I've looked into this a little more and the is a price difference between the indicative value (DJP.IV) and market price (DJP). Barclay's guarantees the index return minus management fees for the indicative value NOT the market price. If you refer to your second link and the "returns" section you can see what I'm taking about: ytd (as of April 30) market price return is 5.06% vs 5.80% and 5.56% for the index and indicative value.

So you get the index minus the management fee only if you buy when the market price is the same as the indicative price.

The 61bps difference is for ONLY 5 1/2 months which would annualize to roughly to 130 bps which is above the contractural terms.

It would be nice if Barclays would show historical premuim/discount as they do with their ETFs (AGG for example).

Troubled By ETF Tracking Failures? Try ETNs

I was actually referring specifically to the DJP- the DJ-AIG commodities index. Year to date index performance vs the ETN is WAY off 4.41% vs 5.02%. Only 35 bps is because the management fee.

Troubled By ETF Tracking Failures? Try ETNs

You state "they (ETNs) produce exactly the index return minus the management fee." How do you explain the discrepancy in iPath Market Returns and the iPath Indicative Value over just about every time period? The return info is availabe on the ipathetn.com website.