Fund Quotient

ETF analytics for the future

What an ETF really costs to trade.

We measure the gap between what a fund is worth, the price it closes at, and the price investors actually get, for about 4,300 U.S.-listed ETFs, with daily history back to 2000.

Open the ETF Liquidity Cost Explorer Request a password

The measure

Three prices tell the whole story.

Every ETF has more than one price on any given day. How far apart they sit is the cost of liquidity: what an investor gives up to get in or out.

NAV

What the fund's holdings are worth, calculated at the end of the day.

Last close

The price the shares finished the day at on the exchange.

Average price paid

The volume-weighted average of every trade during the day.

Cost of liquidity =|last close − NAV| ÷ NAV+|average paid − last close| ÷ last close

Who it's for

One measure, five ways to use it.

Each role starts by building a list of funds, either one ETF and its category peers or a whole fund family, and gets a report built for the job.

Investor

Choose one fund from a competitive set, based on lower variance over time relative to the reasonably available alternatives.

Gatekeeper

Monitor the funds on your shelf against their entire category, and confirm each one's variance stays within a normal range.

Issuer

Watch your own funds against a set of category peers, with a set of daily reports.

Operator

For a fund where you serve as Authorized Participant, see how well its variance is managed compared with how peers manage theirs.

Director

The same view as an issuer, with reports that each summarize a month.

Inside the explorer

Built on daily data for the whole U.S. ETF market.

~4,300U.S.-listed ETFs with current data
26 yearsof daily history for the longest-running funds
1 yearof minute-by-minute prices behind every fund
~4,000funds with Authorized Participant activity from SEC filings
  • Fund detail: the three prices, both spreads, and a minute-by-minute chart of the day.
  • Rank in group: where a fund sits among every fund in its Morningstar category.
  • Daily range: each session's cost and whether it stayed inside the fund's normal range.
  • Fund vs. group: the fund's baseline, control limit and breach rate against its peers, over time.
  • Return effects: what trading at each of the prices would have meant for a monthly investor.
  • Authorized Participants: who creates and redeems each fund's shares, and how concentrated that is.
  • Reports and downloads: a report for each role, and a CSV of the data on every page.

Get access

The explorer is password protected.

Email us for a password. Tell us your role and the funds you follow and we will send one back.

Request a password

Or write to paul.ellenbogen@fundquotient.com