grems8544
12-31-2011, 12:16 PM
Folks,
The following article states that an ETF, specifically the VXF (Vanguard Extended Market) has been experiencing significant outflows.
http://www.forbes.com/sites/etfchannel/2011/12/23/vanguard-extended-market-etf-experiences-big-outflow/?partner=yahootix
If this is the case we should be able to see it using EV methods, right?
Please tell me if the following analysis is flawed.
The float on VXF is 22MM shares. The 50d MA on volume is 77K shares, so it takes a tremendous amount of time to turnover the ownership of the ETF (>> 30d) and hence, active boundary analysis does not apply.
$189.1MM outflow (per the article) at an average price of $52/share is in the range of 3-4MM shares. Daily volume w/ VXF is low, so any large transactions, or a group of smaller transactions should be easy to see.
According to my TradeStation plugin, Large Effective Volume over the last 40 days has seen a net change of -73,000 shares while Total Effective Volume has seen a net change of -94,000 shares. Over the past 20d the change is -52K shares in terms of LEV and almost the same in TEV, indicating that there is very little net change in retail/Small EV. Over the last 10d, which includes the period of the author’s article, there has been a net INFLOW in terms of LEV, about +6000 shares net. While not a considerable amount, none of this adds up to the article’s numbers.
A review of orders over 10,000 shares for the past 40 days does not produce anywhere near a 3-4MM share value. In fact, I'm having a hard time getting anywhere near 3-4MM shares over the past 10-15 days using ANY threshhold of volume, even if it were ALL selling volume.
I'm curious as to a method to check the assertions of articles like this. Any insight would be appreciated.
Regards,
pgd
The following article states that an ETF, specifically the VXF (Vanguard Extended Market) has been experiencing significant outflows.
http://www.forbes.com/sites/etfchannel/2011/12/23/vanguard-extended-market-etf-experiences-big-outflow/?partner=yahootix
If this is the case we should be able to see it using EV methods, right?
Please tell me if the following analysis is flawed.
The float on VXF is 22MM shares. The 50d MA on volume is 77K shares, so it takes a tremendous amount of time to turnover the ownership of the ETF (>> 30d) and hence, active boundary analysis does not apply.
$189.1MM outflow (per the article) at an average price of $52/share is in the range of 3-4MM shares. Daily volume w/ VXF is low, so any large transactions, or a group of smaller transactions should be easy to see.
According to my TradeStation plugin, Large Effective Volume over the last 40 days has seen a net change of -73,000 shares while Total Effective Volume has seen a net change of -94,000 shares. Over the past 20d the change is -52K shares in terms of LEV and almost the same in TEV, indicating that there is very little net change in retail/Small EV. Over the last 10d, which includes the period of the author’s article, there has been a net INFLOW in terms of LEV, about +6000 shares net. While not a considerable amount, none of this adds up to the article’s numbers.
A review of orders over 10,000 shares for the past 40 days does not produce anywhere near a 3-4MM share value. In fact, I'm having a hard time getting anywhere near 3-4MM shares over the past 10-15 days using ANY threshhold of volume, even if it were ALL selling volume.
I'm curious as to a method to check the assertions of articles like this. Any insight would be appreciated.
Regards,
pgd