As trading gets underway for March 2009, there are 843 exchange-traded products (756 ETFs, 87 ETNs) listed in the U.S. With so many choices there are bound to be many with severe liquidity issues. A surprising number have days with zero volume and outrageous bid/ask spreads - ETFs on Deathwatch. However, there is a small group of ETFs that rise above the crowd - ETFs that trade more than $1 billion per day - members of the ETF $Billion Club.
If liquidity is high on your list of priorities, then knowledge of the Average Daily Value Traded (ADVT) is essential. ADVT, which is volume multiplied by price (sometimes referred to as $ Volume), is a preferred method of gauging liquidity since price differences between ETFs can distort volume-only measurements. High liquidity means you don’t have to worry about whether someone will take the other side of your trade.
The table below lists the 17 current members of the ETF $Billion Club, those with an ADVT in excess of $1 billion during the latest month (February, 2009).
The ETF Billion Dollar Club - March 2009
|1||SPY||SPDR S&P 500||$30,767,683,584|
|3||SKF||ProShares UltraShort Financials||$4,627,046,400|
|4||SDS||ProShares UltraShort S&P500||$4,580,779,008|
|5||IWM||iShares Russell 2000||$3,093,236,480|
|7||GLD||SPDR Gold Trust||$2,470,299,648|
|8||XLF||SPDR Select Sector Financial||$2,082,540,544|
|9||SSO||ProShares Ultra S&P500||$1,905,811,200|
|10||XLE||SPDR Select Sector Energy||$1,795,240,832|
|11||EEM||iShares MSCI Emerging Markets||$1,746,615,296|
|12||SRS||ProShares UltraShort Real Estate||$1,577,850,496|
|13||QID||ProShares UltraShort QQQ||$1,458,607,744|
|14||IYR||iShares DJ US Real Estate||$1,244,349,184|
|15||EFA||iShares MSCI EAFE||$1,222,589,568|
|16||FAZ||Direxion Financial Bear 3x Shares||$1,221,666,944|
|17||USO||United States Oil Fund||$1,034,414,528|
Disclosure: long GLD