ETFs with Greatest Spikes in Volume

by: Ron Rowland

Here are the ten ETFs with the largest volume spikes for the week ending April 24, 2009. We calculate this by looking at the five-day average volume versus the 50-day average volume.

We exclude ETFs and ETNs that did not have an Average Daily Value Traded (ADVT) of at least $1 million for the past 21 market days. We look only at those products in the upper ETF Liquidity Tiers, which represents approximately 45% of the universe of US-listed ETFs and ETNs. This step eliminates many of the peculiarities associated with low volume securities.

Currently the list contains a large proportion of small cap and mid cap ETFs. Of the 389 ETFs and ETNs that passed the ADVT screen, 171 (44%) had a volume increase this week.

Ticker Name 1-week Vol Chg
DSG SPDR DJ Wilshire Small Cap Growth 0.7% 436%
RFG Rydex S&P Midcap 400 Pure Growth -0.9% 361%
JKJ iShares Morningstar Small Core 1.3% 336%
JKI iShares Morningstar Mid Value 0.3% 321%
JKL iShares Morningstar Small Value 0.4% 269%
TOK iShares MSCI Kokusai Index Fund 0.0% 259%
FAZ Direxion Daily Financial Bear 3x Shares -7.0% 246%
NYC iShares NYSE Composite Index Fund -0.5% 223%
SEF ProShares Short Financials -0.5% 200%
PRFE PowerShares FTSE RAFI Energy 1.2% 173%

Disclosure: no positions