Why do MacroShares trade at a premium or discount to the Underlying Value?
It is important to remember that unlike traditional exchange-traded funds (ETFs), MacroShares are typically issued with terms of 5-20 years. Although UV will offer accurate tracking (and inverse tracking) of the Reference Index when the MacroShares U.S. Treasury collateral produces income that consistently covers trust expenses , the market prices of MacroShares can reflect, among other factors, expectations of reference index returns and interest rates over intermediate or long-term investment horizons. Thus, at any moment in time, market prices will reflect both the current UV, and the expected path, or future performance, of the reference index over the remaining life of the MacroShares, along with the attendant trust net income that will accrue based upon trust collateral balances.
