ProShares has a diversified lineup of ETFs that allows investors to adopt various strategies based on individual sectors, market-cap, desire to be long or short, etc.
Of the 64 ETFs currently offered, it is clear that some are more popular than others. This popularity is translated into trading volume.
Why volume matters --
The greater the volume, the smaller the bid/ask spread tends to be. Higher spreads are like a hidden fee that subtracts from investor returns. This is especially of concern to short-term traders.
On a related note, an investor might ask if this is a liquidity issue. Is it related to the liquidity of the stocks that make up the ETF? According to IndexUniverse.com, research shows that it is the liquidity of the ETF, and not the liquidity of the underlying components that really matters.
Lower volume can be associated with higher expense ratios. The heavier trading volumes associated with larger funds implies that these ETFs can spread their expenses over wider ownership bases.
The greater the volume, the closer the ETF seems to track its associated index. This effect seems to especially come into play with the ultra ETFs that are supposed to generate 200% of the change in their associated index on a daily basis. The smaller the volume, the more inconsistent the ability to achieve the 200% move. For non-leveraged ETFs, this effect can manifest itself as a divergence between the price
of the ETF and its net asset value (NAV).
Below we present a table listing all but two of the ProShares ETFs and their average daily volume (shares traded) as calculated over the last two years or the life of the fund, whichever is less.
Stick to those ETFs in the top one third of this list and you will be able to avoid the the problems inherent in the less popular ETFs.
Of the 64 ETFs currently offered, it is clear that some are more popular than others. This popularity is translated into trading volume.
Why volume matters --
The greater the volume, the smaller the bid/ask spread tends to be. Higher spreads are like a hidden fee that subtracts from investor returns. This is especially of concern to short-term traders.
On a related note, an investor might ask if this is a liquidity issue. Is it related to the liquidity of the stocks that make up the ETF? According to IndexUniverse.com, research shows that it is the liquidity of the ETF, and not the liquidity of the underlying components that really matters.
Lower volume can be associated with higher expense ratios. The heavier trading volumes associated with larger funds implies that these ETFs can spread their expenses over wider ownership bases.
The greater the volume, the closer the ETF seems to track its associated index. This effect seems to especially come into play with the ultra ETFs that are supposed to generate 200% of the change in their associated index on a daily basis. The smaller the volume, the more inconsistent the ability to achieve the 200% move. For non-leveraged ETFs, this effect can manifest itself as a divergence between the price
of the ETF and its net asset value (NAV).
Below we present a table listing all but two of the ProShares ETFs and their average daily volume (shares traded) as calculated over the last two years or the life of the fund, whichever is less.
| Symbol | Name | Average Daily Volume |
|---|---|---|
| QID | UltraShort QQQ | 20042421 |
| SDS | UltraShort S&P500 | 10640286 |
| TWM | UltraShort Russell2000 | 4337620 |
| QLD | Ultra QQQ | 4171179 |
| SKF | UltraShort Financials | 3778876 |
| UYG | Ultra Financials | 3778258 |
| DUG | UltraShort Oil & Gas | 3703700 |
| DXD | UltraShort Dow30 | 2454753 |
| SSO | Ultra S&P500 | 2368347 |
| FXP | UltraShort FTSE/Xinhua China 25 | 2260873 |
| SRS | UltraShort Real Estate | 892856 |
| EEV | UltraShort MSCI Emerging Markets | 563881 |
| DDM | Ultra Dow30 | 528774 |
| UWM | Ultra Russell2000 | 475894 |
| MZZ | UltraShort MidCap400 | 451919 |
| SMN | UltraShort Basic Materials | 390431 |
| SH | Short S&P500 | 174924 |
| DIG | Ultra Oil & Gas | 162924 |
| DOG | Short Dow30 | 157933 |
| TBT | UltraShort Lehman 20+ Year Treasury | 156322 |
| MVV | Ultra MidCap400 | 123451 |
| EFU | UltraShort MSCI EAFE | 104662 |
| PSQ | Short QQQ | 100591 |
| URE | Ultra Real Estate | 81689 |
| USD | Ultra Semiconductors | 65585 |
| MYY | Short MidCap400 | 64646 |
| SDD | UltraShort SmallCap600 | 60777 |
| ROM | Ultra Technology | 52511 |
| RWM | Short Russell2000 | 43922 |
| PST | UltraShort Lehman 7-10 Year Treasury | 40535 |
| SJH | UltraShort Russell2000 Value | 40356 |
| SKK | UltraShort Russell2000 Growth | 39434 |
| REW | UltraShort Technology | 37704 |
| EUM | Short MSCI Emerging Markets | 33837 |
| SDP | UltraShort Utilities | 28313 |
| SCC | UltraShort Consumer Services | 27736 |
| UYM | Ultra Basic Materials | 27550 |
| EWV | UltraShort MSCI Japan | 24811 |
| SSG | UltraShort Semiconductors | 24423 |
| SIJ | UltraShort Industrials | 17818 |
| UKF | Ultra Russell1000 Growth | 17312 |
| SAA | Ultra SmallCap600 | 14532 |
| SZK | UltraShort Consumer Goods | 13972 |
| EFZ | Short MSCI EAFE | 12423 |
| UKK | Ultra Russell2000 Growth | 11173 |
| UPW | Ultra Utilities | 10043 |
| SDK | UltraShort Russell MidCap Growth | 9104 |
| SFK | UltraShort Russell1000 Growth | 8403 |
| SJL | UltraShort Russell MidCap Value | 7639 |
| SBB | Short SmallCap600 | 7392 |
| UVT | Ultra Russell2000 Value | 7349 |
| UKW | Ultra Russell MidCap Growth | 6863 |
| UXI | Ultra Industrials | 6775 |
| SJF | UltraShort Russell1000 Value | 6667 |
| RXL | Ultra Health Care | 6507 |
| UGE | Ultra Consumer Goods | 4853 |
| RXD | UltraShort Health Care | 4822 |
| UVG | Ultra Russell1000 Value | 4665 |
| UCC | Ultra Consumer Services | 4264 |
| UVU | Ultra Russell MidCap Value | 3433 |
| LTL | Ultra Telecommunications | 1596 |
| TLL | UltraShort Telecommunications | 368 |
Stick to those ETFs in the top one third of this list and you will be able to avoid the the problems inherent in the less popular ETFs.
Comments
I have been using RSI (7 and 14) as an entry/exit point aid...
And a zig zag over the ETF to help with clearer buy/sell indicators...
Besides volume as a bid/ask spread "determiner" and reading the underlying DJIA or S&P, what other indicators are relevant in an ETF like SRS? Or for that matter any ETF?
I hope my question is clear.
Thanks.
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