@lewisedmund

Build a decomposition. Total cost = headline fee + trading costs (spread, market impact) + tracking error from creation/redemption frictions. Model spreads with depth-of-book metrics and volatility; estimate impact via participation rate and ADV. For spot crypto ETFs, include custody fees, in-kind vs. cash creation efficiency, and basket slippage. Regulation enters as binary and continuous variables—eligibility in retirement accounts, cross-listing permissions, and disclosure cadence—affecting flows and discount risk. Premium/discount (to NAV) can be regressed on flow shocks, underlying venue liquidity, and arbitrage frictions (AP capacity, settlement windows). Use event studies around policy changes and halving/roll dates; backtest flow-to-return elasticity to infer demand curves and the “ETF floor” supporting underlying prices.

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