Institutional Methodology & Math

Quantitative Methodology & Financial Formulas

In commitment to institutional-grade transparency, this document details how ETF Fund Flow (`etf.com.vn`) ingests, normalizes, and computes quantitative financial metrics across all listed Vietnam ETFs.

1. Net Asset Value & Indicative NAV (NAV & iNAV)

NAV (Net Asset Value): Official end-of-day intrinsic value per ETF share, audited and published after each trading session by the Fund Management Company and Custodian Bank (e.g., BIDV, Standard Chartered):

NAV per Unit = (Total Fund Assets − Total Liabilities) / Total ETF Units Outstanding

iNAV (Indicative NAV): Real-time intraday estimate of a fund's intrinsic value per share, computed continuously from the live matched prices of underlying index constituents on HOSE plus cash equivalents.

2. Volume-Weighted Average Price (Intraday VWAP)

VWAP reflects the true volume-weighted execution price across the entire trading session, filtering out single-lot noise during opening (ATO) or closing (ATC) auctions:

VWAP = ∑(Trade Execution Price × Trade Volume) / Total Session Matched Volume

On our Market Terminal and ETF Detail pages, the spread between the latest secondary market price and session VWAP indicates whether buyers are paying an intraday premium or discount relative to institutional flow.

3. Valuation Premium & Discount Spreads

Percentage divergence between the secondary market price on HOSE and the fund's intrinsic value (iNAV or official NAV):

Premium / Discount (%) = ((Market Price − iNAV) / iNAV) × 100%

Premium (> 0%): Secondary market price exceeds intrinsic value (common during periods of intense foreign institutional demand in FOL-capped funds such as `FUEVFVND`).
Discount (< 0%): Secondary market price trades below intrinsic basket value, creating primary-market creation/redemption arbitrage opportunities for Authorized Participants (APs).

4. Total Expense Ratio (TER)

TER measures the annual percentage of fund assets deducted to cover management fees, custodian fees, index licensing, and audit expenses:

TER (%) = (Total Annual Fund Operating Expenses / Average Net Assets Under Management) × 100%

Domestic Vietnam ETFs typically charge between 0.50% and 0.85% per year, significantly lower than the 1.50%–2.50% charged by active open-ended equity mutual funds.

5. Portfolio Volatility & Pearson Correlation Matrix

Pairwise Pearson correlation coefficient (r) between daily log/arithmetic returns of ETF X and ETF Y over the trailing 252 trading sessions:

r(X, Y) = Cov(X, Y) / (σ_X × σ_Y)

Annualized multi-asset portfolio volatility (σ_p) is derived from the full covariance matrix (Σ) and weight vector (w):

σ_p = √( w^T × Σ × w ) × √252

6. Systematic Investment Plan (SIP) & Fisher Real Return

Future portfolio value (FV) after n years given initial lump-sum capital P, monthly contribution PMT, expected annual return r, and inflation rate i:

FV = P × (1 + r_m)^m + PMT × [ ((1 + r_m)^m − 1) / r_m ] × (1 + r_m)

Where m = n × 12 months and r_m = (1 + r)^(1/12) − 1. When inflation adjustment is enabled, real compounding rate is calculated via the exact Fisher equation: r_real = (1 + r) / (1 + i) − 1.

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