The Vital Few
November 12, 2009 by Ron Rowland
Filed under Commentary, ETF Screens, ETFs
A few months ago I wrote an article about how the 80-20 rule does not apply to ETFs. When it comes to ETF trading, 92% of the activity is confined to just 8% of the actively listed ETFs. I dubbed it the ETF 92-8 Rule. I received several requests to publish a list of the “vital few”, those 8% of the ETF universe that dominate all trading.
Back in April, I divided all the listed ETFs into Liquidity Tiers, based on their average daily value traded (ADVT). Each higher tier represents an order of magnitude improvement in ADVT. I continue to use this method because it results in a bell-shaped distribution, and the use of ADVT overcomes one of the weaknesses of a volume-only approach.
The top two tiers (tiers 8 and 9) are members of the ETF Billion Dollar Club, those ETFs that trade more than $1 billion per day on average. As it turns out, the next lower tier, which trade more than $100 million per day, are very close to matching the top 8%.
When I first computed the 92-8 rule, 8% resulted in 72 funds. To make sure this was not a one-month statistical fluke, I continued to monitor trading over the following months and the 92-8 ratio held strong. It holds once again this month, but growth in the total number of actively listed funds has pushed the quantity to 73.
Here are the Vital Few for November, the 8% of actively listed ETFs that accounted for 92% of all ETF trading activity last month.
| Rank | Ticker | Name | ADVT |
|---|---|---|---|
| 1 | SPY | SPDR S&P 500 | $21,697,312,768 |
| 2 | QQQQ | PowerShares QQQ | $4,396,277,248 |
| 3 | EEM | iShares MSCI Emerging Markets | $3,361,327,360 |
| 4 | IWM | iShares Russell 2000 | $3,297,930,240 |
| 5 | FAS | Direxion Daily Financial Bull 3x Shares | $2,653,633,024 |
| 6 | SDS | ProShares UltraShort S&P500 | $1,791,905,408 |
| 7 | FAZ | Direxion Daily Financial Bear 3x Shares | $1,745,907,328 |
| 8 | GLD | SPDR Gold Trust | $1,668,300,928 |
| 9 | EWZ | iShares MSCI Brazil | $1,593,717,248 |
| 10 | XLF | SPDR Select Sector Financial | $1,560,165,760 |
| 11 | XLE | SPDR Select Sector Energy | $1,258,926,208 |
| 12 | DIA | Dow Diamonds | $1,203,879,936 |
| 13 | EFA | iShares MSCI EAFE | $1,026,983,296 |
| 14 | OIH | HOLDRS Oil Services | $1,023,444,224 |
| 15 | SSO | ProShares Ultra S&P500 | $1,010,408,896 |
| 16 | IYR | iShares DJ US Real Estate | $1,010,136,256 |
| 17 | FXI | iShares FTSE/Xinhua China 25 | $921,325,376 |
| 18 | USO | United States Oil Fund | $566,885,632 |
| 19 | SKF | ProShares UltraShort Financials | $564,006,336 |
| 20 | GDX | Market Vectors Gold Miners | $553,867,648 |
| 21 | QLD | ProShares Ultra QQQ | $538,114,304 |
| 22 | XRT | SPDR S&P Retail | $521,541,312 |
| 23 | QID | ProShares UltraShort QQQ | $485,127,040 |
| 24 | SMH | HOLDRS Semiconductor | $458,298,560 |
| 25 | TNA | Direxion Daily Small Cap Bull 3x Shares | $455,875,264 |
| 26 | MDY | SPDR S&P Midcap | $440,189,984 |
| 27 | IVV | iShares S&P 500 | $405,866,304 |
| 28 | VWO | Vanguard Emerging Markets ETF | $403,113,568 |
| 29 | TLT | iShares Barclays 20+ Year Treasury | $397,501,248 |
| 30 | BGU | Direxion Daily Large Cap Bull 3x Shares | $385,813,632 |
| 31 | SRS | ProShares UltraShort Real Estate | $359,159,584 |
| 32 | TZA | Direxion Daily Small Cap Bear 3x Shares | $334,269,920 |
| 33 | XLI | SPDR Select Sector Industrial | $324,523,648 |
| 34 | XLB | SPDR Select Sector Materials | $320,953,248 |
| 35 | UNG | United States Natural Gas Fund LP | $319,692,160 |
| 36 | TBT | ProShares UltraShort 20+ Yr Treasury | $277,829,696 |
| 37 | IYF | iShares DJ US Financial | $249,896,448 |
| 38 | RTH | HOLDRS Retail | $248,660,224 |
| 39 | EWJ | iShares MSCI Japan | $248,037,216 |
| 40 | DXD | ProShares UltraShort Dow 30 | $235,221,520 |
| 41 | BGZ | Direxion Daily Large Cap Bear 3x Shares | $234,851,696 |
| 42 | XLU | SPDR Select Sector Utilities | $222,871,856 |
| 43 | XLK | SPDR Select Sector Technology | $186,283,536 |
| 44 | SH | ProShares Short S&P500 | $184,199,152 |
| 45 | XLV | SPDR Select Sector Health Care | $181,440,368 |
| 46 | EWY | iShares MSCI South Korea | $181,414,800 |
| 47 | DIG | ProShares Ultra Oil & Gas | $178,982,896 |
| 48 | UYG | ProShares Ultra Financials | $177,912,272 |
| 49 | EWT | iShares MSCI Taiwan | $174,299,536 |
| 50 | SLV | iShares Silver Trust | $171,714,496 |
| 51 | XLP | SPDR Select Sector Consumer Staples | $167,262,864 |
| 52 | XLY | SPDR Select Sector Consumer Discretionary | $166,765,888 |
| 53 | EWW | iShares MSCI Mexico | $163,225,280 |
| 54 | URE | ProShares Ultra Real Estate | $163,112,416 |
| 55 | IWB | iShares Russell 1000 | $161,910,848 |
| 56 | XME | SPDR S&P Metals & Mining | $160,943,120 |
| 57 | UPRO | ProShares UltraPro S&P 500 | $157,108,448 |
| 58 | TWM | ProShares UltraShort Russell 2000 | $155,546,944 |
| 59 | KBE | SPDR KBW Bank ETF | $154,169,392 |
| 60 | VNQ | Vanguard REIT ETF | $140,859,232 |
| 61 | EWA | iShares MSCI Australia | $137,823,680 |
| 62 | DDM | ProShares Ultra Dow 30 | $137,229,520 |
| 63 | ERX | Direxion Daily Energy Bull 3x Shares | $135,327,920 |
| 64 | TIP | iShares Barclays TIPS Fund | $125,304,240 |
| 65 | LQD | iShares iBoxx $ Investment Grade Corp Bd | $123,006,112 |
| 66 | XHB | SPDR S&P Homebuilders | $122,937,880 |
| 67 | RSX | Market Vectors Russia ETF | $121,374,488 |
| 68 | IWF | iShares Russell 1000 Growth | $121,355,384 |
| 69 | SPXU | ProShares UltraPro Short S&P 500 | $118,897,224 |
| 70 | IWO | iShares Russell 2000 Growth | $118,649,672 |
| 71 | KRE | SPDR KBW Regional Banking ETF | $117,048,472 |
| 72 | ILF | iShares S&P Latin America 40 | $110,457,576 |
| 73 | EDC | Direxion Daily Emerging Markets Bull 3x | $107,974,200 |
Disclosure compliant with FTC 16 CFR Part 255 covering writer, editor, and publisher: Long positions in many of the securities listed. No positions in any of the companies or ETF sponsors mentioned. No income, revenue, or other compensation (either directly or indirectly) received from, or on behalf of, any of the companies or ETF sponsors mentioned.
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