Analyzing ETF Liquidity: It’s a Fluid Process
Author: Matthew Bartolini, CFA, Head of SPDR Americas Research, State Street Global Advisors
Many investors use point-in-time statistics for the most recent 30 or 90 trading days to assess
the liquidity profile of an ETF.
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, especially in periods of high volatility. 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.