A drop in the bucket

April 8, 2019

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This research paper presents a methodology for estimating the trading volume on U.S. exchanges attributable to the portfolio management activity of index funds, index ETFs, and other indexing strategies.

We estimate that index funds and index ETFs currently account for approximately 1% of overall trading volume on U.S. exchanges, well below the more widely quoted 5% to 7%. Even after accounting for indexed portfolio management activity outside of registered funds and removing trading volume due to high-frequency trading and shares of ETFs, we estimate that indexing represents less than 5% of overall U.S. trading volume stands.

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