An unexpected systemic risk in exchange-traded funds has just been brought to light in a research note from credit ratings agency Moody’s, which says a recent trade by a large investor caused a breakdown in an ETF and left investors nursing losses.

The research note, which was published this week, says investors in an ETF provided by State Street saw the value of the investors' holdings drop by more than a percentage point below the value of the index the ETF was tracking, after a large investor, probably a hedge fund, redeemed a $780m block of the ETF's shares.