[throwaway2037]

Such a bold claim. Since we are talking about stock indices here... Can you provide a well known (liquid) non-leveraged example that does not directly trade the underlying stocks? It would probably make the create/redeem process more complex for market makers.

[KellyCriterion]

Invesco S&P 500 UCITS ETF

100% synth replication

edit: ISIN: IE00B3YCGJ38

[throwaway2037]

Hat tip! I was not aware that Europe has very particular laws (different from the US) about how ETFs need to treat dividends. As a result, using an underlying equity swap is more tax efficient than owning the shares directly. For US-listed ETFs, I believe that my original point still stands: Well-known (liquid) non-leveraged ETFs hold physical shares instead of replicating returns with derivatives (equity swaps).