The primary risk of investing in ETFs relates to the underlying investment strategy itself. Because ETFs typically aim to track an index or asset class, should that index fall in value, you should expect the value of your ETF to fall too.
From a structural perspective however, ETFs in Australia are regulated by the Australian Securities and Investments Commission (“ASIC”) as registered “managed investment schemes” (“MIS”) which means ETF issuers are governed by a detailed set of regulations regarding the operation of their funds.
Most importantly from an investor perspective, the assets of an ETF are held on trust for the benefit of unitholders and separate from the assets of the product issuer. As an extra layer of separation, the assets are normally held by an independent third party custodian appointed by the ETF issuer. This essentially means ETF assets are not available to creditors of the issuer in the unlikely event of a default.
If a business failure at the level of the ETF issuer were to occur, a new manager would be appointed and the ETF would continue to operate. Alternatively, if the ETF were to be wound up, the liquidator would sell the assets, and the net proceeds would be paid to the unitholders in proportion to the number of units they held.
For more information see https://www.betashares.com.au/insights/how-safe-are-my-etf-assets/
For more information on the specific risks of a particular Fund, please see the “Risks” section in the relevant Product Disclosure Statement.