Does anyone know how can I get the historical, daily NAV of a specific ETF, for example SPD or IWM? and how can I get the number of daily transaction of a specific ETF? Yahoo finance has daily opening, high, low, closing values, but no NAV.

  • 2
    $\begingroup$ For IWM you can get daily NAV since May 22, 2000 (the date of inception) in a spreadsheet on the iShares web site ishares.com/us/products/239710/ishares-russell-2000-etf (see green download icon at top right) $\endgroup$ – noob2 Feb 27 at 20:28
  • 1
    $\begingroup$ SPD is put out by a company called Simplify Asset Management that I don't know, but they can probbly give you NAVs also. $\endgroup$ – noob2 Feb 27 at 20:42
  • 1
    $\begingroup$ Number of transactions is a rather unusual metric. What would the number of trades tell you. With the proliferation of sweeping orders and matching engines, large orders are split and small ones are consolidated all the time. You can run COUNT on the consolidated trade log but I doubt the utility. It may have some use if you extract outliers during particular liquidity events such as auctions. $\endgroup$ – Sergei Rodionov Feb 27 at 21:35
  • $\begingroup$ @SergeiRodionov the number of transactions has a high correlation with the volume. I wanna compare two different datasets, one includes the volume and the other includes the number of transactions. $\endgroup$ – R Salimi Feb 28 at 7:42
  • 1
    $\begingroup$ @RSalimi Trade volume and trade count will be highly correlated, for sure. I ran a quick query correlating trades and volumes on 500+ iShares/MSCI ETFs traded on the US exchanges and the correlation was 94% on Dec-26, 2021. For stocks in general it is around 85% - all expected. My point was that the aggregate count was too close to volume. I would be more interested in the distribution, and percentiles, and outliers in the trade counts as a source of insights. $\endgroup$ – Sergei Rodionov Feb 28 at 12:05

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.