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by otherjason 550 days ago
If your roboadvisor is buying the individual stocks that make up the index in my personal account for me, do you have data that compares the slippage (bid/ask spread) paid across all of these transactions versus a single purchase of very liquid ETFs like SPY?
2 comments
jjmaxwell4 550 days ago
Great question. The bid-ask spreads of the ETF itself already take into account the bid-ask spreads of the underlying securities, since there exists an arbitrage opportunity via the ETF redemption mechanism.

I found this PDF from State Street quite informative on the topic. We are working on our own data here as well and aim to share that down the line.

https://www.ssga.com/library-content/pdfs/etf/au/spdr-au-etf...

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short_sells_poo 550 days ago
You can likely purchase the stocks in the closing auction which should give you the official settlement price that ETFs get benchmarked on.

Stocks are not my area of expertise so I gloss over a lot of details... maybe and equity trading specialist can chime in?

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