I see various levels of detail on different ETF sites. Pouring through the regs is not trivial. If we keep to US ETFs, is there somewhere to find the mandated reporting requirements? Is there any requirement to post calculations somewhere with marks, holdings, fx, net funds, total shares and NAV? Or is it just a requirement that they calculate and publish NAV with some opaque level of due diligence that gets occasionally audited, but the calculations are not published.


1 Answer 1


There is a regulatory framework for the Key Information Document of financial products within the European Union:

While this is not specifically what you are asking for, there exists a solid regulatory framework within the European Union on how to provide retail investors with a Key Information Document (KID)$^{[1]}$ regarding Packaged retail and insurance-based investment products (PRIIPs) (this includes ETFs). If you are more focused on the "factsheet" that is provided with many ETFs, then see below.


KIDs are designed to help retail investors getting a better understanding and transparency of more complex financial products and their behaviour. In order to ensure consistency across the European Union, there is a regulatory framework that describes how product manufacturers should construct a KID. They also provide supplementary material (Annexes) on how calculations of the performance metrics needs to be performed to determine a KID.

For completeness, I have listed the regulatory documents and the supplementary material (Annexes) below:

  1. Original regulation (2014): Regulation (EU) No 1286/2014. Provides framework on how to structure a KID, defining the scope of a KID, provision of a KID and how to handle feedback from retail investors and supervision of the KIDs.

  2. Supplementing regulation (2017): Commission Delegated Regulation (EU) 2017/653. Provide regulatory technical standards with regard to the presentation, content, review and revision of key information documents and the conditions for fulfilling the requirement to provide such documents. Annexes are provided after Article 18 and contain formulas on how to calculate the different performance metrics that determines the information within the Key Information Document. Note that the PRIIP is assigned to an MRM Class based on its VaR-Equivalent-Volatility (VEV). The MRM Class determines what further assessments the PRIIP needs to undergo (also detailed in the document).

  3. Supplementary document (2021): Ammends to the Supplementing regulation (2017). Article 14 is rewritten so the entity can provide the additional information in a Supplementary Information Document (SID).


Some of the details regarding ETFs or other derivates found on the page of banks (or similar), are originally from the KID or the SID document associated with the product. If not, then it might come from the factsheet of the product which is not (as far as I know) subject to any form of regulation. An example is the iShares Core MSCI World ETF, where they write in the bottom of the document:

[...] The information has not been submitted to, nor received approval from, the US SEC or any other regulatory body.

In this sense, you can only find the corresponding calculations if the product manufacturers have published a white paper. In the above example they even have a disclaimer about reproducibility of the factsheet (see the first couple of sentences at the bottom of the document).

Since I am not well-versed in US regulations, there might exist a similar framework to regulate KIDs and SIDs. However, factsheets on ETFs can be seen as marketing material. As a further note, product manufacturers provide a "prospectus". This is also subject to regulation in the European Union. I hope this provide some insight. $\:$

$[1]:$ also referred to as KIID: Key Investor Information Document.


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