Most of the above are free. If you’re serious about downloading big chunks of data to run your own studies, however, you’re going to have to pay someone something. EOD Data has almost every asset class and index you could want, at extremely reasonable prices.
It’s always interesting to see the winners and losers in this business. The NSX publishes a monthly report (free, but requiring registration) that highlights all the fund flows a week or so after each month. The data’s not always perfect, but it’s a great tool for gauging the ETF market, and we always feature the big moves as reported on NSX data.
While not of interest to everyone, we pay a fair amount of attention to things like new fund filings and when ETFs actually start trading. The NYSE does a good job of marking the start of trading in new funds with an update to the IPO page. And the SEC? Well, it does a different kind of job at its EDGAR filing pages. All the information is there, but navigating EDGAR isn’t for the faint of heart. The NYSE also maintains a separate data Web site that provides information on things like changes in volume and short interest over time.
The St. Louis Fed runs a great service that provides more economic data than you could possibly consume. The best part is that if you dig far enough, you can generally download the data for any graph they ever show, letting you run your own studies.
Issuer Web Sites
Last, but definitely not least, if you’re serious about analyzing ETFs, you should always stop by the ETF issuer’s Web site. In many cases, it’s the *only* free source of information on things like spreads, premiums and discounts. Even worse, if there’s a prospectus-level change (for instance, when Vanguard raised fees on some ETFs in 2009), those changes can take months to trickle out to third-party data providers. You can bet they were correct on the Vanguard Web site, however.
The downside of issuer Web sites is that you’re never comparing apples and apples—some issuers publish complete holdings daily, some publish with a lag. Some issuers publish historical premium/discount information, some don’t.
That’s just a sampling of sources out there. It’s far from a perfect world for the diligent ETF investigator, but most of the information you could want is out there.