Consistent spikes on VNQI price

Non-investing personal finance issues including insurance, credit, real estate, taxes, employment and legal issues such as trusts and wills

Consistent spikes on VNQI price

Postby DaveG » Wed May 22, 2013 11:25 am

I've noticed that the daily price chart of VNQI (Vanguard Global ex-US Real Estate ETF) consistently has significant, brief spikes. Every day, it seems, there are 4 or 5 short-lived jumps in price. Can anyone explain what might be causing such behavior? I ask only because I am curious, not because I plan to take any action based on this phenomenon. It's just that I don't remember ever seeing a price chart that has similar behavior.

Here's a link to yahoo finance 5-day price chart. http://finance.yahoo.com/q/bc?s=VNQI+Basic+Chart&t=5d
User avatar
DaveG
 
Posts: 40
Joined: 26 May 2011
Location: Plano, Texas

Re: Consistent spikes on VNQI price

Postby inbox788 » Wed May 22, 2013 1:06 pm

The spikes you see are relatively small, maybe 3%? It's a relatively illiquid fund, I would have thought more? Only 100,000 shares are traded on average. That's less than $10m a day, so a fund buying $1m might cause the spike. Also, I've seen data errors where time is wrong show up as brief spikes. Could be both effects.
inbox788
 
Posts: 702
Joined: 15 Mar 2012

Re: Consistent spikes on VNQI price

Postby G-Money » Wed May 22, 2013 2:10 pm

Could be liquidity. Could be the mind's tendency to find patterns where none exist. How consistent are these spikes? Every day? Multiple times a day? Once per week? How significant is significant? A 1% spike? 5%? How persistent is this trend? I'd look back over more than just the last 5 trading days.

I use mutual funds, so I've never spent much time thinking about liquidity or daily price movements.
Don't assume I know what I'm talking about.
User avatar
G-Money
 
Posts: 2779
Joined: 9 Dec 2007

Re: Consistent spikes on VNQI price

Postby MnD » Wed May 22, 2013 3:35 pm

I'd guess the spikes are small retail investors entering "market" buy orders instead of entering limit orders around the mid-point of the bid-ask spread.
MnD
 
Posts: 2113
Joined: 14 Jan 2008

Re: Consistent spikes on VNQI price

Postby livesoft » Wed May 22, 2013 5:08 pm

I've noticed that this week Yahoo intraday charts and quotes are messed up for some ETFs.

Whenever I see something unusual like the spikes you mention, I try a different source for the same info.
It's all about short-term opportunistic rebalancing due to a short-term change in one's asset allocation, uh, I mean opportunistic rebalancing, uh I mean rebalancing, uh I mean market timing.
livesoft
 
Posts: 30860
Joined: 1 Mar 2007

Re: Consistent spikes on VNQI price

Postby DaveG » Wed May 22, 2013 5:37 pm

Thanks Livesoft. You're right....looking at the chart on Google Finance shows a different, less-spiky picture.
User avatar
DaveG
 
Posts: 40
Joined: 26 May 2011
Location: Plano, Texas

Re: Consistent spikes on VNQI price

Postby grabiner » Wed May 22, 2013 9:26 pm

MnD wrote:I'd guess the spikes are small retail investors entering "market" buy orders instead of entering limit orders around the mid-point of the bid-ask spread.


While that isn't the situation for this particular fund, it is a common phenomenon with low-volume ETFs. For example, look at the May 17 chart for EEMS:

http://quote.morningstar.com/etf/chart. ... region=USA

Most of the morning trades were around $51.10, but someone probably placed a market order to sell and sold at $50.31.

The way to protect yourself against being on the wrong side of one of these trades is to use only limit orders for low-volume ETFs. If you place a market order to sell into a spread of $49.95-$50.05, but someone else accepts the $49.95 order before you place your order, you will sell at the next-best offer, which might be $49.93 but also might be $49.00. If you place a limit order to sell at $49.95 and the buy order at $49.95 is no longer there, you'll see what the new order is and can accept it or wait for other orders to arrive.
David Grabiner
User avatar
grabiner
Advisory Board
 
Posts: 12292
Joined: 21 Feb 2007
Location: Columbia, MD


Return to Personal Finance (Not Investing)

Who is online

Users browsing this forum: ChiefIllini, deikel, DFrank, Hashy, Imperabo, paulsiu, plannerman, Sam I Am, traveler90, vkfu, vtraining and 113 guests