MasterDATA Compilation List Revised For 1st Quarter, 2009

Our Index / ETF Compilation List is adjusted to, once again, reflect the top 111 trade volume ETFs.  Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquid US listed stock Exchange Traded Funds.

Frankly, I am cheating a little bit, because I should be doing this on the first weekend of the new quarter.  But, the Direxion ETFs have captured so much attention, I don’t think anyone will complain too much about updating our list and thereby including four Direxion ETFs two days before the end of the quarter. 

Speaking of Direxion ETFs, there would have been four more of this sponsor’s ETFs except for a problem in obtaining constituent lists.  I do not blame Direxion.  First, they do publish their current constituent lists every day on their website.  But, their ETFs are leveraged and, as a result, contain things other than stocks such as swaps.  In other words, the actual constituent list is not very useful for compiling composite breadth data.  For this type of ETF, we utilize the constituent list of the index upon which the ETF is based.  Both ProShares and some Rydex funds are similar in this respect.  In the case of the Direxion ETFs I so far cannot locate a constituent list for either the Russell 1000 Financial or Russell 1000 Energy indexes.   Both are sponsored by the AMEX and while the AMEX freely provides constituent lists on their other indexes, they do not, as yet, provide lists for these two indexes (at least not in the “normal” location).  If anyone knows where these constituent lists are hiding out, please let me know and we will add four more Direxion ETFs immediately.

That does bring me to a sore point, Indexes and ETFs that do not provide investors with readily available constituent lists.  Currently the worst offender is Vanguard.  Vanguard has been around forever and is pretty arrogant about what you, the individual investor, really need.  My last correspondence with them ended with their comment “Yes, current constituent lists would be a good for investors.  No, we are not going to provide current constituent lists.”  I am paraphrasing a somewhat, but not much.

So with this revision, it gave me a degree of pleasure to drop seven of Vanguard’s ETFs as their trade volume declined sufficiently to knock them out of the top 111 trade volume ETFs.  I would like to think that you investors recognised their less than “user friendly” position.  On the other hand, in all fairness, the MSCI indexes upon which most of their funds are based, provide no current constituent lists electing to sell them instead to institutional resources such as Bloomberg.  In the interest of leveling the playing field, I feel this is just wrong in today’s market environment.  If enough investors voice a complaint, this will probably be resolved one day.  MSCI can be contacted at http://ir.msci.com/contactus.cfm  and Vanguard at https://personal.vanguard.com/us/home?fromPage=portal.  What really disturbs me most about these guys is their incredible “we know better than the individual investor” arrogance.

OK, back to the business at hand.  To review all of the additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the left column under “Categories”.

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For the current MasterDATA Compilation List, please click here.
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Subscribers may click on the Index or ETF names below to see breadth charts on that issue.  These charts and indicators are available nowhere else on the Internet.

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New ETF Additions
These new additions ranked in the top 111 trade volume ETFs on March 29, 2009:

Deleted ETFs:
The deleted ETFs below experienced trade volume less than the top 111 ETFs at the end of the quarter.

  • iShares Dow Jones U.S. Oil Equipment & Services Index Fund (IEZ)
  • iShares Goldman Sachs Semiconductor Index Fund (IGW)
  • iShares Goldman Sachs Software Index Fund (IGV)
  • iShares Russell 3000 Growth (IWZ)
  • iShares Russell Microcap Index Fund (IWC)
  • PowerShares BLDRS Emerging Markets 50 ADR Index Fund (ADRE)
  • PowerShares Dynamic LargeCap Growth (PWB)
  • PowerShares Dynamic LargeCap Value (PWV)
  • PowerShares Dynamic Mid Cap Growth (PWJ)
  • PowerShares FTSE RAFI US 1000 Portfolio (PRF)
  • Vanguard Consumer Discretion ETF – DNQ (VCR)
  • Vanguard Energy ETF (VDE)
  • Vanguard Materials ETF – DNQ (VAW)
  • Vanguard Mega Cap 300 ETF (MGC)
  • Vanguard Mid-Cap Value ETF – DNQ (VOE)
  • Vanguard Small-Cap Value ETF – DNQ (VBR)
  • Vanguard Utilities ETF – DNQ (VPU)

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