Steering a Ship in Illiquid Waters: Active Management of Passive Funds
研究发现公司债券ETF并非完全被动，而是通过主动选择创建和赎回篮子来平衡指数跟踪与流动性转换，这有助于纠正投资组合失衡并促进套利，但大规模失衡时会恶化流动性。
Abstract Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances while facilitating ETF arbitrage. Basket inclusion improves bond liquidity in general, but worsens it in periods of large imbalance between creations and redemptions, such as the COVID-19 crisis.