"Stock weights in an ETF aren’t matched to the liquidity of components, creating a skew in returns when the need arises to move the underlying portfolio. Additionally, the set of links from a world of ETFs to the universe of stocks is a mesmerizing web of connections not readily tested in a market stress environment, except for the early hours of August 24, 2015 and during the flash crash of May 6, 2010. One ETF pulls on tens or hundreds of others, so to speak. While the majority of money still sits in liquid ETFs such as SPY, we are most concerned with large positions in ETFs that deal with less liquid products like investment-grade corporates and junk bonds and of course, levered and inverse volatility products. It is possible that the entire ETF market is as stable as a house of cards…"
—ZeroHedge, Feb. 4, 2018