ETFs with Surge in Value Traded: Week of 5/15/09

Here are the ten ETFs and ETNs with the largest increase in value traded (VT) for the week ending May 15, 2009. The ranking is based on a simple comparison of the five-day average value traded (closing price times volume) versus the 50-day average.

Topping the list this week is SPDR DJ Euro STOXX 50 (FEZ) with a 353% increase in value traded on a -6.3% drop in price. A quick scan of the table reveals that “distribution” was the name of the game this week, as eight of the listed products underwent price declines. Rydex S&P Smallcap 600 Pure Value (RZV), a recent market leader, suffered a -13% haircut.

HOLDRS Software (SWH) was one of the two ETFs in this week’s screen that managed to post a price gain. It bucked the overall negative trend with a +1.8% advance. The other gainer, ProShares UltraShort Semiconductors (SSG), was merely exploiting the negative market action.

Five of the products on the list also appeared last week. They are FEZ, UTH, RZV, DSV, and GAZ. For reference, SPDR S&P 500 (SPY) lost -4.6% on a -17% change in value traded.

Ticker	Name	1-wk	VT Chg
FEZ	DJ Euro STOXX 50	-6.3%	353%
SWH	HOLDRS Software	1.8%	286%
UTH	HOLDRS Utilities	-4.7%	254%
RZV	Rydex S&P Smallcap 600 Pure Value	-13.0%	227%
DSV	SPDR DJ Wilshire Small Cap Value	-8.9%	196%
JKL	iShares Morningstar Small Value	-9.6%	152%
IXC	iShares S&P Global Energy	-6.0%	144%
PJB	PowerShares Dynamic Banking	-7.7%	137%
SSG	ProShares UltraShort Semiconductors	4.3%	142%
GAZ	iPath DJ AIG Natural Gas Total Ret ETN	-5.2%	118%

The output in the table above is filtered so that only ETFs and ETNs with an Average Daily Value Traded (ADVT) of at least $1 million the past 21 market days are included. This includes only those products in the upper ETF Liquidity Tiers and resulted in only 410 (slightly less than 50% of the universe of US-listed ETFs and ETNs) passing the filter this week. This step eliminates many of the peculiarities associated with low volume securities.

Disclosure: no positions