Wall Street banks want to make more money per transaction because regulators' new capital requirements have made holding bonds on their balance sheets more expensive, Kinney said.
Even so, he said the State Street junk bond ETF tracks its benchmark pretty tightly, given how volatile that sector can be.
To be sure, though some index funds select bonds that allow them to outperform their indexes, it's more common for an index fund's tracking difference to lag its index because of the cost of running a fund that a benchmark doesn't have.
Nevertheless, index fund managers have always behaved a little like political pollsters who sample a small group of people to get a reading on a larger population.
Indexing giant Vanguard typically builds bond portfolios that come closest to having the same number of holdings as their benchmarks, fund disclosures show. The $121 billion Vanguard Total Bond Market Index Fund holds 6,730 bonds, compared to nearly 8,900 in its benchmark.
"I chuckle when people talk about a passive index bond fund," Nadig said. "There's really no such thing. There ain't much passive about it. These funds are constantly buying and selling."