Analyzing ETF Liquidity: It’s a Fluid Process

Many investors use point-in-time statistics for the most recent 30 or 90 trading days to assess the liquidity profile of an ETF that has traded on an exchange for longer than just the last 30 days. This is a problem because—with the exception of a few highly liquid ETFs—a fund’s liquidity profile can change in different market regimes. This paper explores how ETFs’ liquidity dynamics impact total cost of ownership (TCO), underscoring why investors need to look beyond a single period statistic when analyzing liquidity.

Matthew J. Bartolini, CFA
Head of SPDR Americas Research, State Street Global Advisors

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