Morningstar ETFs Added to Constituent List Datafile

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Morningstar’s 15 US equity ETFs are now included in the constituent list datafile as follows:

Focus Morningstar US Market Index ETF FMU
Focus Morningstar Large Cap Index ETF FLG
Focus Morningstar Mid Cap Index ETF FMM
Focus Morningstar Small Cap Index ETF FOS
Focus Morningstar Basic Materials Index ETF FBM
Focus Morningstar Communication Services Index ETF FCQ
Focus Morningstar Consumer Cyclical Index ETF FCL
Focus Morningstar Consumer Defensive Index ETF FCD
Focus Morningstar Energy Index ETF FEG
Focus Morningstar Financial Services Index ETF FFL
Focus Morningstar Health Care Index ETF FHC
Focus Morningstar Industrials Index ETF FIL
Focus Morningstar Real Estate Index ETF FRL
Focus Morningstar Technology Index ETF FTQ
Focus Morningstar Utilities Index ETF FUI

This brings the total of ETFs in the file to 901 and indexes to 366. 18,114 equity constituents are now updated to reflect shares outstanding, marketcap, earnings per share and P/E ratio through year end 2011.

Importantly, a major revision to our program code was implemented over the holiday. Although I try to avoid sweeping changes in coding, this one is essential and a quantum leap toward the long term goal of populating as many fields in the datafile as possible as accurately as possible

For more information on MasterDATA’s constituent lists datafile go to http://www.MasterETFdata.com.

50 New ETFs Added

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With the recent addition of 50 ETFs, the daily updated constituent list datafile now includes 887 US traded ETFs and 366 indexes. Click here for this new list:

http://www.masteretfdata.com/Download-Files/New ETFS.xls

The complete list of all ETFs and indexes included in the constituent list datafile:

http://www.masteretfdata.com/Download-Files/AllCompositesTypes.csv

The additions include a new (to our coverage) sponsor, QuantShares. We now cover all ETF sponsors. This new list includes some name changes also. Additionally, several of the new ETFs are commodity based which means they do not go into the constituent list datafile (at least, for now). By our count, this makes a total of 1176 US based ETFs.

Additionally, CUSIPs are now provided for all US traded ETFs in both the constituent list datafile as well as the ETFStatic.csv file. The ETFStatic.csv file is available to all subscribers and contains a complete list of all ETFs along with their description, current expense ratios, underlying index (if any), inception date as well as CUSIP. ETNs will be added soon.

Constituent List Update

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The constituent list file now includes 845 equity and fixed income ETFs as well as numerous US and global indexes.  ProShares and Direxion leveraged and inverse ETFs will be added shortly followed by similar ETFs from sponsors already in the file.

Two new sponsors are added to the constituent lists file:

Precidian:
http://precidianfunds.com/2/nky225/ 

Northern Trust’s Flexshares:
http://www.flexshares.com/ 

Historical constituent lists are available to subscribers beginning July 2009:
http://www.masteretfdata.com/ConstituentListsPlus/DatedFiles 

If you use ftp to access your files, the same username/password allows access to this http directory.

For more information about the daily updated constituent lists data file, go to http://www.masterETFdata.com.

60 New ETFs / New Constituent List Change Report

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Over the past couple of weeks, 60 plus new ETFs have been added to the constituent list datafile.  This includes a new sponsor (to us), Schwab and their 14 ETFs.  We needed an assist on this group so thank you very much to Schwab’s ETF Capital Markets for their help.  Additionally, EG Shares’ Gems are all now covered.  Total of ETFs in the constituent list file is now 848 plus 371 indexes.  Here is the current list if you haven’t seen it for a while:  

http://www.masteretfdata.com/Download-Files/AllCompositesTypes.csv

We now offer full coverage of all ETFs with equity or debt constituents.  Also, as a result of our constituent list work, we can make available a one of a kind report found nowhere else on the Internet.  This new “Constituent List Change Report” provides a complete listing of constituent additions and removals from the indexes and ETFs covered in the full ConstituentData42.csv datafile. Similar to the full constituent lists datafile, this report is updated daily by 2:00 am est and again just before the market open. The latter report includes late updates from iShares and State Street. Here is the URL:

http://www.masteretfdata.com/Content/Index-ETF-Change-Report.htm

More to come.

4th Quarter Compilation List Update Complete

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‘The quarterly revision of the MasterDATA Compilation List is now complete and now reflects the top 202 trade volume ETFs as well as 34 major stock indexes.  Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquid US equity Exchange Traded Funds.

To review all of the past additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the right column under “Categories”.

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For the current MasterDATA Compilation List, please click here.
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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 200 trade volume ETFs on January 17, 2011:

First Trust DJ Select MicroCap ETF (FDM)
First Trust Small Cap Core AlphaDEX (FYX)
First Trust Value Line 100 Fund (FVL)
HOLDRS Broadband (BDH)

iShares Morningstar Large Core Index Fund (JKD)
iShares Russell 3000 Growth (IWZ)
iShares Russell 3000 Value (IWW)

iShares Russell Top 200 Growth Index Fund (IWY)
iShares Russell Top 200 Value Index Fund (IWX)

PowerShares Dynamic Banking (PJB)
PowerShares Dynamic Build & Construction (PKB)

PowerShares Dynamic Energy E&P (PXE)
PowerShares Dynamic Mid Cap Growth (PWJ)

PowerShares Dynamic SmallCap Growth (PWT)
PowerShares S&P SmallCap Energy Portfolio (XLES)

PowerShares S&P SmallCap Information Technology Portfolio (XLKS)
PowerShares Zacks Micro Cap (PZI)

ProShares Ultra Russell2000 Growth (UKK)
ProShares UltraPro S&P500 (UPRO)

 

Removed ETFs:
The deleted ETFs below experienced trade volume less than the top 200 ETFs at the end of the quarter.

PowerShares Lux Nanotech Portfolio (PXN)
ProShares Ultra Industrials (UXI)
PowerShares Aerospace & Defense (PPA)
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
iShares Dow Jones U.S. Consumer Goods Index Fund (IYK)
iShares Dow Jones U.S. Total Market Index Fund (IYY)
ProShares UltraPro Short MidCap400 (SMDD)
PowerShares Dynamic Media (PBS)
iShares FTSE NAREIT Residential Index Fund (REZ)
First Trust Utilities AlphaDEX Fund (FXU)
ProShares UltraShort Consumer Services (SCC)
HOLDRS Merrill Lynch Telecom (TTH)
iShares Dow Jones U.S. Pharmaceutical Index Fund (IHE)
iShares Dow Jones U.S. Aerospace & Defense Index Fund (ITA)
Rydex Russell Top 50 ETF (XLG)
ProShares UltraPro MidCap400 (UMDD)
iShares Morningstar Small Value Index Fund (JKL)
iShares Morningstar Small Core Index Fund (JKJ)
ProShares UltraShort Russell2000 Value (SJH)
SPDR Dow Jones Total Market ETF (TMW)

 

 

Constituent List Datafile Now Includes All Equity and Fixed Income ETFs

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The constituent list datafile now includes all US traded ETFs with equity or fixed income constituents where the sponsor provides readily accessible lists.  This is a total of 790 ETFs.  Only two, small, currently offered ETFs are excluded due to their lists not being available.

Certainly, this is noteworthy, but it also allows us to enter an ongoing maintenance and data completion mode. Bloomberg symbols are currently provided on most constituents.  ISDN, CUSIP or SEDOL are provided on many constituents.  Both of these will now be cross-referenced to provide these identifiers on substantially all constituents.

Although currently outstanding ETFs are adjusted as identified throughout the year, at the end of each quarter, a complete “inventory” is done on each sponsor to make sure all ETF additions/deletions are properly reflected in the datafile.  That is coming up next week.

New Facebook Page

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MasterDATA just created a Facebook page at the following URL:

http://www.facebook.com/pages/Los-Angeles-CA/MasterDATA/174108279267974?v=app_4949752878

The purpose of the new Facebook pages is to encourage interaction, not just between MasterDATA and individual subscribers and site visitors, but to broaden a communication into a true conversation.  Instead of you asking a question and we answer it, the objective is that not only will we respond but anyone having an opinion can express their opinions or questions.  In turn, that may spawn another question or opinion or even difference of opinion.   All of the above are fine.  We will always do out best to respond with a worthy answer, but others may also answer with an answer just as worthy or even better.  Many times a new “better idea” springs from a conversation.

We hope you join us on Facebook and help us build the conversation about breadth data and analysis.  Thank you.

Complete Canadian ETF List Now Available

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182 Canadian traded ETFs are now included in the new “Complete Canadian ETF List ” available at http://www.masterdata.com/HelpFiles/Canadian_ETF_List.htm.  An additional list includes the 37 Canadian ETNs (Exchange Traded Notes) currently trading.  As with the U.S. ETF Lists, this new list will be revised at least quarterly.  The six Canadian ETF/ETN providers are listed listed along with links to their websites at http://www.masterdata.com/Content/Sites/Canadian-ETF-Sponsors.htm.

Quarterly Compilation List Update Completed

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In case you hadn’t noticed, Claymore is now Guggenheim Funds.  Mostly, however, leveraged and inverse ETFS from ProShares and a couple from Direxion dominate the new additions this quarter.  Frankly, several more ProShares and Direxion could have been added if constituent lists were available.  To their credit, both of these ETF sponsors post their current constituent lists.  Unfortunately, constituents often include swaps, derivatives and future contracts.  Not very enlightening for breadth analysis.  We therefore use a “virtual” constituent list for these ETFs … the current constituent list for the index upon which they are based.

‘The quarterly revision of the MasterDATA Compilation List is now complete and now reflects the top 200 trade volume ETFs as well as 34 major stock indexes.   Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquidUS equity Exchange Traded Funds.

To review all of the past additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the right column under “Categories”.

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For the current MasterDATA Compilation List, please click here.
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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 200 trade volume ETFs on October 3, 2010:

  Direxion Daily Semiconductor Bear 3x Shares (SOXS) All Subscribers
  Direxion Daily Semiconductor Bull 3x Shares (SOXL) All Subscribers
  First Trust Morningstar ETF (FDL) All Subscribers
  First Trust Utilities AlphaDEX Fund (FXU) Top 200 Subscribers
  Guggenheim Insider Sentiment ETF (NFO) Top 200 Subscribers
  PowerShares Dynamic Pharmaceuticals (PJP) Top 200 Subscribers
  PowerShares S&P 500 BuyWrite Portfolio (PBP) Top 200 Subscribers
  PowerShares S&P 500 High Quality Portfolio (PIV) Top 200 Subscribers
  ProShares Short SmallCap600 (SBB) Top 200 Subscribers
  ProShares UltraPro Dow30 (UDOW) Top 200 Subscribers
  ProShares UltraPro MidCap400 (UMDD) Top 200 Subscribers
  ProShares UltraPro Russell2000 (URTY) Top 200 Subscribers
  ProShares UltraPro Short Dow30 (SDOW) Top 200 Subscribers
  ProShares UltraPro Short MidCap400 (SMDD) Top 200 Subscribers
  ProShares UltraPro Short Russell2000 (SRTY) All Subscribers
  ProShares UltraPro Short S&P500 (3X) (SPXU) All Subscribers
  ProShares UltraShort Russell2000 Growth (SKK) Top 200 Subscribers
  ProShares UltraShort Russell2000 Value (SJH) Top 200 Subscribers
  ProShares UltraShort SmallCap600 (SDD) Top 200 Subscribers
  ProShares UltraShort Technology (REW) Top 200 Subscribers
  REVENUESHARES MID CAP FUND (RWK) Top 200 Subscribers
  SPDR Dow Jones Total Market ETF (TMW) Top 200 Subscribers
  WisdomTree High-Yielding Equity Fund (DHS) All Subscribers
  WisdomTree MidCap Dividend Fund (DON) Top 200 Subscribers

Deleted ETFs:
The deleted ETFs below experienced trade volume less than the top 200 ETFs at the end of the quarter.

  First Trust DJ Select MicroCap ETF (FDM)  
  First Trust Energy AlphaDEX Fund (FXN)  
  First Trust Health Care AlphaDEX (FXH)  
  First Trust Small Cap Core AlphaDEX (FYX)  
  First Trust Value Line 100 Fund (FVL)  
  HOLDRS Biotech (BBH)  
  HOLDRS Broadband (BDH)  
  iShares Morningstar Large Growth Index Fund (JKE)  
  iShares Morningstar Small Core Index Fund (JKJ)  
  iShares Russell 3000 Value (IWW)  
  iShares S&P 1500 Index Fund (ISI)  
  PowerShares Dynamic Energy E&P (PXE)  
  PowerShares Dynamic Heathcare Serv (PTJ)  
  PowerShares Dynamic Mid Cap Growth (PWJ)  
  PowerShares Dynamic Software (PSJ)  
  PowerShares Zacks Micro Cap (PZI)  
  ProShares Short Real Estate (REK)  
  ProShares Ultra Health Care (RXL)  
  ProShares Ultra Russell2000 Value (UVT)  
  Rydex S&P MidCap 400 Pure Value ETF (RFV)  
  WisdomTree MidCap Earnings Fund (EZM)   

Complete ETF List Grows to 956

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For details, see our web page at http://www.masterdata.com/HelpFiles/ETF_List.htm.