> It’s a thing but your order execution won’t be as efficient as an ETF, so you will be losing a non-negligible amount each year in slippage from the large number of small transactions

Not necessarily

ETF managers execute block trades outside the normal market, sometimes through dark pools, not even reported to the public.

Fidelity, Vanguard, etc ask JPMorgan, Goldman to execute these block trades and pay them a fee. This fee can exceed the “slippage” a retail investor can face.