All three of these data points require historical market data, so new ETFs
that published ETF Facts prior to launch will not have this information.
Out of the 802 ETF Facts, 272 belong to new funds, leaving us with data for
Average Daily Volume
The average volume ranges from 8.5 million units per day all the way down
to 26 and 44 units per day. The highest volume belongs to Canada’s largest
ETF by assets under management (AUM), the
iShares S&P/TSX 60 Index ETF (TSX: XIU). The lowest-volume offerings belong to DWG.U and DWG.F, the USD and
CAD-hedged versions of
Invesco DWA Global Momentum Index ETF (TSX: DWG). The main series had better daily volume of 2,030 units, but still well
below the median average daily volume across all ETFs of 16,000 units.
Twenty-seven ETFs trade less than 1,000 units per day, 94 trade more than
100,000 units per day, and only nine trade more than one million units per
The category with the highest average daily volume is Passive
Inverse/Leveraged. Considering these ETFs are normally day-traded and are
not meant to be long term holdings, the high volume is understandable. The
next highest category is Canadian Equity, a category that includes four of
the top 10 ETFs by AUM, including XIU.
Among ETF providers, the highest average daily volume is posted Horizons
ETFs, followed by BlackRock, and BMO. Horizons takes top spot mainly due to
the number of Passive/Inverse Leveraged ETFs it offers, while BlackRock and
BMO are the two largest ETF providers by AUM and market share
Number of Days Traded
Because the time period used is not always the same, we will look at the
percentage of the number of days traded compared with the potential number
of days. 288 ETFs, or 54%, scored 100%, meaning they traded every day. At
the low end of the spectrum,
First Trust AlphaDEX Emerging Markets Dividend ETF (CAD Hedged)
Advisor Class (TSX: FDE.A)
scored 2.4%. This ETF traded just six days out of 249. As was the case with
the Invesco ETFs mentioned above, this ETF is a series of FDE, in this case
an Advisor series. However, even FDE trades less than half the available
days with a score of 45%. In total, 11 funds scored less than 10%, and 52
funds were less than 50%.
On average, BlackRock and BMO had the highest percentages of number of days
traded among ETF providers with a minimum of 10 funds. They averaged 99.4%
and 99.3%, respectively. FT Portfolios Canada scored the lowest, at 54%,
with WisdomTree next at 66%.
Average Bid/Ask Spread
Curiously, the lowest spread belongs to
Horizons Robotics and Automation Index ETF (TSX: RBOT)
at 0%. Since an average spread of zero over a long time frame (in this case
148 days with an average volume of almost 40,000 units per day) is highly
unlikely, we will assume there was a rounding error and move on to the next
lowest spread. Ignoring money market and high interest savings ETFs, 12
ETFs have a spread of 0.04%. This group consists of some of the largest
ETFs by AUM. At the other end of the spectrum, we see spreads as high as
First Asset Canadian Convertible Bond ETF (TSX: CXF)
and 1.66% for the
Auspice Canadian Crude Oil Index ETF (TSX: CCX).
In total, there are seven ETFs with a spread greater than 1%, while the
median value is 0.19%.
From a category perspective, looking only at those categories with more
than 10 funds, the lowest average spreads belong to Canadian Dividend and
Income Equity, Canadian Short Term Fixed Income, and Canadian Equity, all
at 0.12%. Commodity, High Yield Fixed Income, and Emerging Markets Equity
have the highest average spreads, at 0.72%, 0.46%, and 0.4%, respectively.
By ETF Provider, Vanguard has the lowest average spread, at 0.15%, followed
by BMO and BlackRock, at 0.16% and 0.18%, respectively. The highest average
spread, aside from Auspice’s lone ETF, is posted by Harvest Portfolios
Group ETFs, at 0.53%.
Brian Bridger, CFA, FRM, is Vice President, Analytics & Data, at Fundata Canada Inc. and is a
member of the
Canadian Investment Funds Standards Committee.
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