Tag Archives: volume

iShares MSCI Europe ETF trading characteristics

Last month, I wrote about iShares MSCI Europe ETF in LSE (ticker: IMEU) as the replacement for iShares DJ STOXX 50 ETF (EUN) in my portfolio. However, the volume and spread information of IMEU was unknown to me at that time. Following that, I have recorded the price, volume and NAV of IMEU over 19 days from September to October. 

The results are in this online spreadsheet, which contains two sheets: (1) Volume and Spread; (2) Premium/Discount Chart. Click the tab at the top of the spreadsheet to view them. Below are the summary over the observed period.

Bid/ask spread

  • GBP 0.034 or 0.25% most of the time

Average volume

  • about 22,511 shares

Premium/discount

  • # of Days between -0.25% & +0.25% = 2
  • % of Days between -0.25% & +0.25% = 11%
  • # of Days between -0.5% & +0.5% = 4
  • % of Days between -0.5% & +0.5% = 21%

Buy/Sell Volume

  • Buy volume: 10,302 ~ 15,302 shares
  • Sell volume: 10,302 ~ 15,302 shares

From the above trading characteristics, this ETF has narrow bid/ask spread. Most of the time it is traded at premium, with only 11% of days traded between -0.25% & +0.25%. The period also coincided with the financial crisis and market turmoil, so large premium/discount and spread was observed on some days.

Throughout the period, consistent buy and sell volume was observed in the queue, as you can see in the Buy Vol and Sell Vol column in the spreadsheet. The volume times the price are more than enough to meet my investment need. For example, on the first day, there are 10,302 shares selling at GBX 1,448.91, which is equal to GBX 14,926,670.82 or GBP 149,266.70.

The fund Size has also increased from EUR 82,674,000 as of my last post to EUR 166,616,000 as of 30 Oct 2008. With the above information, I have decided to replace EUN with IMEU as the Europe equity in my portfolio.

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