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ProShares ETFs - why trading volume makes a difference

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, 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.

SymbolNameAverage Daily Volume
QIDUltraShort QQQ20042421
SDSUltraShort S&P50010640286
TWMUltraShort Russell20004337620
QLDUltra QQQ4171179
SKFUltraShort Financials3778876
UYGUltra Financials3778258
DUGUltraShort Oil & Gas3703700
DXDUltraShort Dow302454753
SSOUltra S&P5002368347
FXPUltraShort FTSE/Xinhua China 252260873
SRSUltraShort Real Estate892856
EEVUltraShort MSCI Emerging Markets563881
DDMUltra Dow30528774
UWMUltra Russell2000475894
MZZUltraShort MidCap400451919
SMNUltraShort Basic Materials390431
SHShort S&P500174924
DIGUltra Oil & Gas162924
DOGShort Dow30157933
TBTUltraShort Lehman 20+ Year Treasury156322
MVVUltra MidCap400123451
EFUUltraShort MSCI EAFE104662
PSQShort QQQ100591
UREUltra Real Estate81689
USDUltra Semiconductors65585
MYYShort MidCap40064646
SDDUltraShort SmallCap60060777
ROMUltra Technology52511
RWMShort Russell200043922
PSTUltraShort Lehman 7-10 Year Treasury40535
SJHUltraShort Russell2000 Value40356
SKKUltraShort Russell2000 Growth39434
REWUltraShort Technology37704
EUMShort MSCI Emerging Markets33837
SDPUltraShort Utilities28313
SCCUltraShort Consumer Services27736
UYMUltra Basic Materials27550
EWVUltraShort MSCI Japan24811
SSGUltraShort Semiconductors24423
SIJUltraShort Industrials17818
UKFUltra Russell1000 Growth17312
SAAUltra SmallCap60014532
SZKUltraShort Consumer Goods13972
UKKUltra Russell2000 Growth11173
UPWUltra Utilities10043
SDKUltraShort Russell MidCap Growth9104
SFKUltraShort Russell1000 Growth8403
SJLUltraShort Russell MidCap Value7639
SBBShort SmallCap6007392
UVTUltra Russell2000 Value7349
UKWUltra Russell MidCap Growth6863
UXIUltra Industrials6775
SJFUltraShort Russell1000 Value6667
RXLUltra Health Care6507
UGEUltra Consumer Goods4853
RXDUltraShort Health Care4822
UVGUltra Russell1000 Value4665
UCCUltra Consumer Services4264
UVUUltra Russell MidCap Value3433
LTLUltra Telecommunications1596
TLLUltraShort Telecommunications368

ETFS missing from table: Short Financials (SEF), Short Oil & Gas (DDG).

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.


Anonymous said…
I have liked using SRS over the last few weeks...

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.

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