A Tale of Two ETF Trades
My final example in this chapter focuses on an ETF in which two trades took place that clearly demonstrate the difference between investors who have mastered the execution process and those who have not. In Exhibit 7.18, you can see the HP screen for the ETF. In the red circle, you can see the average daily volume of the fund at 235,834. In the purple circle, you can see that on 9/27/11, 4,675,041 shares traded, about 20 times the ADV. You can also see in the yellow circle that on 11/10/11, 120,161 shares traded, which is about half the ADV. This is a fund where the underlying basket of bonds does not trade during the U.S. trading day.
In Exhibit 7.19, you can see the quote recap from the fund on the day of the large ...
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