Bid-Ask Spread data for IWDA, EIMI and VWRD ?

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oldchap
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Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

Hello BH !

Would you happen to have the Bid-Ask Spread data for IWDA, EIMI and VWRD ?

I would like to check the difference between VWRD vs IWDA+EIMI.

Thanks !
NRA, LSE-based ETFs only | 1-fund portfolio powered by Vanguard: 120% VWRA | Following the Lifecycle Investing Strategy
oogZoo
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oogZoo »

You could use Xetra Liquidity Measure (XLM) statistics for this. Assuming Xetra is relevant to you. You did not mention which exchange you are interested about.

Have a look here for explanation: https://www.xetra.com/xetra-en/trading/ ... ty-measure and https://www.xetra.com/xetra-en/instrume ... asure-etfs and https://www.xetra.com/resource/blob/548 ... rading.pdf

The monthly statistics can be downloaded here: https://www.deutsche-boerse-cash-market ... statistics
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

Suppose it's the LSE.
Topic Author
oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Mon Apr 27, 2020 8:34 pm Suppose it's the LSE.
Correct, LSE
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oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

At the end I calculated it myself, it is around 0.1% for IWDA and EIMI, and a bit higher for VWRD/VWRA with 0.15%
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

I'm going to write them down the next time I touch our port. In early July I want to sell a chunk of ITPS and buy more VTDY.
thibaulthib wrote: Wed Apr 29, 2020 11:54 am At the end I calculated it myself, it is around 0.1% for IWDA and EIMI, and a bit higher for VWRD/VWRA with 0.15%
KISS & STC.
glorat
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by glorat »

thibaulthib wrote: Wed Apr 29, 2020 11:54 am At the end I calculated it myself, it is around 0.1% for IWDA and EIMI, and a bit higher for VWRD/VWRA with 0.15%
That's entirely consistent with my observations in the last year.

Except in the last month or two where spreads have spiked to 6x these numbers but that should be temporary
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

I still think owning one ETF...100% VWRD. ER = 0.22%. RT Spread = 0.30%
is a better deal than 2 ETFs...90% IWDA + 10% EIMI. ER = 0.20%. RT spread = 0.20%.
KISS & STC.
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oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Wed Apr 29, 2020 7:14 pm I still think owning one ETF...100% VWRD. ER = 0.22%. RT Spread = 0.30%
is a better deal than 2 ETFs...90% IWDA + 10% EIMI. ER = 0.20%. RT spread = 0.20%.
After lots of reflections, I've listened to you and moved everything to VWRA (the accumulating one).

It cost me a bit of money (100 USD) to transfer 150k, but I'm still young (30) and indeed it is much easier to manage and less headache to know if this time you better buy some IWDA or some EIMI... Again, we are betting here.
So with VWRA/VWRD we even remove this bias.

However I noticed something very important: I have all the real time market data for the LSE and:
1) the bid-ask spread for VWRA/D is more than IWDA/EIMI
2) I am now placing limit order everytime I buy VWRA and this provides me better pricing than using Market. (Dont ask me why it wasnt the case with IWDA/EIMI). Basically the price you can get is much better than what is lastly displayed in IBKR for the last bid and last ask.
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glorat
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by glorat »

galeno wrote: Wed Apr 29, 2020 7:14 pm I still think owning one ETF...100% VWRD. ER = 0.22%. RT Spread = 0.30%
is a better deal than 2 ETFs...90% IWDA + 10% EIMI. ER = 0.20%. RT spread = 0.20%.
From a purely cost perspective, I disagree... I'll reply on this topic in your other thread on the same. It's funny the calcs are close... here we are trying to compare a 0.02% TER difference vis a 0.1% spread difference. Here's one a I did before
glorat wrote: Wed Apr 29, 2020 9:27 pm I compare a 0.02% TER difference vs a 0.45% difference in spreads to see which has the bigger effect. What do you think it will be?
glorat wrote: Thu Apr 23, 2020 2:30 am Suppose you have $10,000 to invest today for 20 years and assume you can achieve a whopping 5% CAGR. You spend all your effort eliminating the 0.45% on the spread. That saves you $45 today and compounds up to $119.40 in 20 year time

Suppose you have $10,000 to invest today for 20 years (still 5% CAGR) but you spend your efforts on reducing fund costs by reducing your withholding taxes. E.g. switching to a developed world fund (e.g. VDEV) with a 0.13% TER and a lower withholding tax rate (I forget how much exactly). Let's say it conservatively only saves you a tiny 0.02%. You will come out $1029 better off in 20 years time
In this example, a 0.02% TER difference is 10x more important than a 0.45% spread cost
That being said, I might still prefer VWRD anyway since the simplicity of owning one ETF only is quite large
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

"That being said, I might still prefer VWRD anyway since the simplicity of owning one ETF only is quite large"

I agree with you regarding VWRD vs IWDA + EIMI.

Have you ever used firecalc.com? Try it. Play with the ER function. See how changing the ER changes the SWR. Maybe it will change your mind. I used to calculate like you. Over 25 years ago.
KISS & STC.
glorat
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by glorat »

galeno wrote: Wed Apr 29, 2020 9:50 pm Have you ever used firecalc.com? Try it. Play with the ER function. See how changing the ER changes the SWR. Maybe it will change your mind. I used to calculate like you. Over 25 years ago.
I love firecalc.com! I also like low expense ratios. My full opinion on the different choices on composing an All-World Equity tracker is explained at https://www.boglebot.com. I happen to personally invest in the VDEV/VDEM combination (although I haven't sold out my old VWRD holdings)
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

"However I noticed something very important: I have all the real time market data for the LSE and:
1) the bid-ask spread for VWRA/D is more than IWDA/EIMI
2) I am now placing limit order everytime I buy VWRA and this provides me better pricing than using Market. (Dont ask me why it wasnt the case with IWDA/EIMI). Basically the price you can get is much better than what is lastly displayed in IBKR for the last bid and last ask."

We've been investing in the world financial markets now for 35.25 year. For the first 30 years we never made a limit order. We were buying our individual stocks and later ETFs from USA stock markets. It used to take me 10 minutes to rebalance our all ETF portfolio.

But for the last 5.25 yr we only use limit orders. That because we buy and sell our Ireland domicled ETFs on the more costly LSE. Now it takes me several hours to rebalance our ETFs. Lots of waiting around time until the limit orders clear. Sometimes I have to increase the bid every so slightly so the transaction clears.
KISS & STC.
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oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Wed Apr 29, 2020 9:59 pm We've been investing in the world financial markets now for 35.25 year. For the first 30 years we never made a limit order. We were buying our individual stocks and later ETFs from USA stock markets. It used to take me 10 minutes to rebalance our all ETF portfolio.

But for the last 5.25 yr we only use limit orders. That because we buy and sell our Ireland domicled ETFs on the more costly LSE. Now it takes me several hours to rebalance our ETFs. Lots of waiting around time until the limit orders clear. Sometimes I have to increase the bid every so slightly so the transaction clears.
Galeno, tip/question for you, are you using Tiered instead of Fixed ? I have found out last month that Fixed is really hitting us really hard !! Now, using tiered, I pay exactly 60% less per transaction !

I'm very upset of not having found this option earlier on. I've lost a lot of money in transactions for the past 2.5 years !!

But better late than never....
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

Thibaulthib.

We pay 0.1% as commissions.

As to your question about tiered or fixed I have no idea.

We try to trade as little as possible. When I calculated our port costs for commissions and spreads I assumed we'd trade 5% of port and we also assumed round trip. Not just one way.

Many years we just sell 2% of port. And it's always one way. Not round trip.So maybe our costs are 0.02% and not 0.04%.
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oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Thu Apr 30, 2020 7:32 am Thibaulthib.

We pay 0.1% as commissions.

As to your question about tiered or fixed I have no idea.

We try to trade as little as possible. When I calculated our port costs for commissions and spreads I assumed we'd trade 5% of port and we also assumed round trip. Not just one way.

Many years we just sell 2% of port. And it's always one way. Not round trip.So maybe our costs are 0.02% and not 0.04%.
If you are using IBKR and dont know, by default it is set as fixed pricing. Which is soooo expensive!

You better change straight aways to tiered pricing and you will pay much less in commissions!

PS: the 60% savings per transaction are also one way. For instance now, example: Instead of paying 5 USD per transaction, I only pay 1.90 USD.

I have run some test and in the best situation, the commissions is only 0.055% of the total amount using tiered pricing, which is 2x less than your com.
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

Thibaulthib.

Thank you very much. I'm going to call IBKR and fix this.

I put that commissions cost us 0.02% and bid/ask spread at 0.02%. In reality they are closer to 0.01% each.
Topic Author
oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Thu Apr 30, 2020 9:00 am Thibaulthib.

Thank you very much. I'm going to call IBKR and fix this.

I put that commissions cost us 0.02% and bid/ask spread at 0.02%. In reality they are closer to 0.01% each.
No need to call, you can do this online after you connect to the website :-)

https://www.interactivebrokers.com/en/s ... ucture.htm

Enjoy!
Last edited by oldchap on Thu Apr 30, 2020 9:28 am, edited 1 time in total.
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galeno
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by galeno »

"No need to call, you can do this online after you connect to the website :-)"

Cool. I'll do it! Thanks.
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oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

galeno wrote: Thu Apr 30, 2020 9:25 am "No need to call, you can do this online after you connect to the website :-)"

Cool. I'll do it! Thanks.
Here is the how to:

https://www.interactivebrokers.com/en/s ... ucture.htm
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Topic Author
oldchap
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Re: Bid-Ask Spread data for IWDA, EIMI and VWRD ?

Post by oldchap »

Hi all,

Long time! I just had a look at the VWRA bid-ask spread as we speak and it seems it dropped quite a bit: 0.08% !

This is pretty nice. Have you also noticed this?
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