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.
|FEZ||DJ Euro STOXX 50||-6.3%||353%|
|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