This is correct; Authorized Participants are the ones who exchange baskets of securities. It isn't really possible for individuals to exchange shares directly w

This is correct; Authorized Participants are the ones who exchange baskets of securities. It isn't really possible for individuals to exchange shares directly with the fund manager, but that's not an issue because the secondary market prices are kept reasonably close due to the professionals. The amount you can expect to lose relative to NAV (the actual value of your shares) is around half the bid-ask spread at the time you buy/sell. It also helps with tax efficiency since the creation/redemption process allows for shares with significant appreciation to be retired.