Exchange-traded funds (ETFs) are typically viewed as passive index trackers. In contrast, we show that corporate bond ETFs actively manage their portfolios, trading off index tracking against liquidity transformation. In our model, ETFs optimally choose creation and redemption baskets that include cash and only a subset of index assets, especially if those assets are illiquid. Our evidence supports the model. We find that ETFs dynamically adjust their baskets to correct portfolio imbalances while facilitating ETF arbitrage. Basket inclusion improves bond liquidity in general, but worsens it in periods of large imbalance between creations and redemptions, such as the COVID-19 crisis. (JEL G12, G23)

中文翻译：

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在流动性不足的水域中掌舵：被动基金的主动管理

交易所交易基金 （ETF） 通常被视为被动指数跟踪器。相比之下，我们表明公司债券 ETF 积极管理其投资组合，在指数跟踪与流动性转型之间进行权衡。在我们的模型中，ETF 最会选择包含现金且仅包含指数资产子集的创建和赎回篮子，尤其是在这些资产缺乏流动性的情况下。我们的证据支持该模型。我们发现，ETF 会动态调整其篮子以纠正投资组合失衡，同时促进 ETF 套利。纳入一篮子债券总体上可以提高债券流动性，但在创造和赎回之间严重不平衡的时期（例如 COVID-19 危机）会加剧流动性。（JEL G12、G23）