"This story tells you what the risks are: you've got to understand the equities, the operations, the liquidity, rolling each quarter... so much stuff. So you try to put a computer in to make the decisions...[it looks at] the best proxy basket based on liquidity and correlation to the underlying basket... So what's happening with the growth of passive investing is that you get higher and higher concentration in a smaller and smaller number of stocks... when everyone tries to come out at the same time, it's a stampede toward the exit."
So spoke . . .