This paper studies exchange-traded funds’ (ETFs) price impact in the most ETF-dominatedasset classes: volatility (VIX …, and flow rebalancing. Leverage rebalancing has the largest effects. It amplifies price changes and exposes ETF …

trading volume and a lower market capitalization, regardless of the type of ETF assessed. The level of short interest is lower … have tradable derivatives. We also determine that the level of short interest in an ETF serves as an effective signal of … bearish sentiment when considering all ETFs, but is not an effective signal when isolating any particular type of ETF …

performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making … discoveries and employing the method devised by Barras et al. (2010). After evaluating several ETF combinations, we conclude that … sets of 3 to 5 ETFs replicate most levels of active fund performance. Finally, we propose specific ETF selection algorithms …