Matt Hougan tiene un post donde cuestona la transparencia adjudicada a los ETFs.
The myth of ETF transparency stems from the fact that ETFs must publish their “creation baskets” at the end of every day. The creation basket is the shopping list of securities—tickers and numbers of shares—an institutional investor (aka, an “Authorized Participant”) must deliver to an ETF issuer if he or she wants to create a tranche of new shares in an ETF. For instance, the creation basket of the SPDR S&P 500 ETF (NYSEArca: SPY) will likely contain all 500 stocks in the S&P 500 in approximately the same weights as those stocks that exist in the index.
Creation baskets are often extremely close to the actual holdings of a fund, but they don’t have to be. For large-cap domestic equity ETFs, they’re usually identical. But as you move into less liquid areas of the market, a significant gap can develop between the contents of the creation basket and the holdings of the underlying fund, all the way until they are so divergent that the ETF issuer just asks for cash.