ETF Data Made Easy(er)

March 19, 2010

While there’s no one-stop-shop for all your ETF data needs, there are some good resources out there. Here are a few I use.

Matt’s post on charting prompted some good internal debate about where we all get our data fix. While I’d love to say there’s one magical Web site that does it all (like, say, IndexUniverse.com) the reality is we’re all good at our own things. Here’s what I look at when I’m evaluating ETFs:

Bloomberg

Not everyone can afford $1,900 a month for a Bloomberg terminal, but in the words of Ferris Bueller, “It is so choice. If you have the means, I highly recommend picking one up.” Learning how to efficiently use the thing is a bit like learning how to drive an aircraft carrier using Braille, though. Even if you’re not willing to pay the big money, the Bloomberg newsroom does a good job on their free Web site (and related iPhone app) of covering core economic, investor and commodity news, and it’s a regular stop on my daily rounds when I’m away from the big black screens.

Yahoo Finance

When it comes to running my own numbers, I’ve found Yahoo Finance to be the most data-geek friendly, for one major reason—you can download an adjusted price series since inception for every ETF. “Adjusted” means adjusted for dividends, which means you can do your own analysis while avoiding the pitfalls Matt highlighted on Wednesday. I’m not impressed by the various other ETF data they provide (holdings, etc.), as my experience is that the data quality is spotty.

StockCharts.com

There’s nothing ETF-specific at StockCharts, but they do make some pretty charts. Here’s the smallest, simplest version of their flagship “SharpChart.”

 

SharpChart

 

 

 

 

 

 

 

 

 

 

 

 

 

 

While I agree with Matt on most of what he wrote about technical analysis, I also subscribe to the voodoo principle here—it actually does work when enough people believe it will. If, for example, everyone believed you should sell gold if it drops below its 50-day moving average (I just made that up), then of course gold would plummet after it broke that blue line, because everyone would be selling.

So while I’m not a believer in the sense that I think technical analysis solves all your problems, I do think TA can help us understand investor psychology and market dynamics. StockCharts tools are among the best out there for the technically minded. I used to recommend ClearStation.com, but I think the simplicity of StockCharts wins out.

FutureSource

The world isn’t ETFs. Most things are pretty easy to find, but good commodities charts can be a bear. FutureSource, part of the massive Quote.com empire, has the easiest-to-manipulate charts for the futures markets. They don’t have the customization a real futures trading platform does (letting you do things like pick your rolling dates), but they’re the best I’ve found for free.

AssetCorrelation

Understanding how well your ETFs really diversify your portfolio is critical to making informed investing decisions. AssetCorrelation.com lets you build custom correlation matrices in seconds, and even more fun, lets you run custom correlation-over-time studies to show you how, say, gold and oil have become better and better friends this year. The data source is, I believe, Yahoo Finance, so don’t expect access to every index in the world; but for ETFs, it’s tremendous.

 

EOD Data

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.

National Stock Exchange

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.

NYSE IPO Page & SEC.gov

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.

FRED

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.

 

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