Steering a Ship in Illiquid Waters: Active Management of Passive Funds

• 成果类型: Article
• 署名作者: Koont, Naz; Ma, Yiming; Pastor, Lubos; Zeng, Yao
• 署名单位: Stanford University; National Bureau of Economic Research; Columbia University; National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf034
• 发表日期: 2025-10
• 页码: 2887-2935
• 关键词: G12; G23; Exchange-traded funds; bond; fragility; arbitrage; CRISIS; ETFs

摘要

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.