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MasterDATA's Index / ETF Compilation
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Currently,
MasterDATA compiles composite breadth data on 30 major
indexes and the 111 most actively traded Exchange Traded
Funds (ETFs). Daily data period web site charts,
reports and historical datafiles are updated hourly during
the trade session as well as end of day. Weekly, monthly
and quarterly data periods are updated end of day.
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For details on the latest index and
ETF additions and deletions
to MasterDATA's Compilation List, please click here.
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MasterDATA
currently compiles historical composite breadth
data on ETFs meeting the following criteria:
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MasterDATA reviews
the list of U.S. Stocks ETFs monthly for changes
in the top 111 trade volume ETFs. Adjustments
to the Compilation List will be made when such
changes are identified and the following criteria
is met.
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All
constituent issues must be listed on the NYSE,
AMEX or NASDAQ exchanges. Issues may additionally
trade on any other exchange(s).
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All
constituent issues must be stocks. Those
ETFs based on the price of a specific commodity
(gold, oil, interest rates etc.) or those containing
debt instruments (government bonds, corporate
bonds etc.) will be excluded at the present
time (ProShares and some Rydex ETFs are exceptions
- See below).
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The
ETF sponsor must provide a readily accessible,
up-to-date constituent list including ticker
symbols for each issue.
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Of
the ETFs meeting the above criteria, only ETFs
ranking in the top 111 ETFs as measured by average
daily trading volume will be included.
These qualifying ETFs will be added the first
weekend of each month.
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An
ETF falling out of the top 111 top trade volume
ETFs for two consecutive months will
be deleted. This means that an ETF on
MasterDATA's Compilation List will remain on
the list for a minimum of two months.
This also means that our compilation list will
number in excess of 111 ETFs on a continual
basis.
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Vanguard
meets all criteria for including their ETFs on MasterDATA's
Compilation List. Their current constituent lists
(if you can find them) are placed in a "secure" part of
their web site, however, in such a way that makes automated
access and updating currently impossible. Therefore,
while all other ETFs on our compilation list are updated
daily through an automated process, Vanguard's ETF constituent
lists can only be updated manually. MasterDATA will
update Vanguard's ETF constituent lists regularly on a "best
efforts" basis. We have contacted Vanguard about the
issue.
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Wisdom
Tree ETF constituent lists do not currently include
ticker symbols and therefore their sponsored ETFs cannot
be included in MasterDATA's compilation list. We have
contacted Wisdom Tree about the issue. No Wisdom Tree
ETF currently ranks in the top 111 trade volume ETFs.
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ProShares
and some Rydex ETFs are a "leveraged" and/or "reciprocal"
version of several widely followed stock indexes such as
the Dow Jones Industrial Average, S & P 500 Index, NASDAQ
100 Index and Russell 2000 Index. Their structure
often requires the use of futures contracts and / or Swaps,
neither of which qualify under MasterDATA's qualification
criteria. Performance of the ProShares, however, generally
achieves their stated objective and makes these ETFs very
attractive to investors and traders capable of incurring
the higher risk in these funds. For that reason, we
include ProShares qualifying as ranked by trading volume.
composite breadth data for the underlying index is included
in the historical datafiles for these ETFs along with the
actual trade prices and volume of the ProShares or Rydex
ETF itself.
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