The ETF Basket Implied Liquidity Scale (EBILS)
The implied daily tradable shares (IDTS) available on Bloomberg provides a clear and quantifiable number of shares that can potentially be traded in an ETF. Investors need to go further to assess where that number fits within the product universe. Many portfolio managers look at positions in dollar terms, potentially asking, “Can I invest $25 million in a particular ETF in a day?” So some would prefer to look at the implied daily tradable dollars (IDT$), which is a representation of potential liquidity of the basket in dollar terms. This will be important when you are comparing multiple ETFs at different prices and attempting to determine what liquidity may be available in each.
In Exhibit 4.11
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