ETF Basket Liquidity: Implied Daily Tradable Shares

Understanding the liquidity of an ETF has proven to be a challenging endeavor for market participants. There is a field available on Bloomberg terminals called ETF Implied Liquidity that is designed to explain a piece of the ETF liquidity function. This field is based around the calculation of the implied daily tradable shares (IDTS) of an ETF. This is a novel way of looking at the liquidity of an ETF based on its underlying basket to assess whether the ETF might be appropriate for your intended investment or trade size. This calculation has never before been available on a broad scale.

In Exhibit 4.7, you can see the field displaying the ETF Implied Liquidity for the ETF and, above it, the ...

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