ETFs with Volume Spikes

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