Why isn't there a Case-Shiller ETF?

I met a college friend, an economist who works at a REIT, for lunch. The discussion turned to Case-Shiller ETFs, how there aren't any. I speculated that the difficulty of bridging the huge liquidity gap between an ETF and residential real estate has something to do with it. In the case of the paired funds that MacroShares was slated to launch but never did, maybe the amount of buffer needed would have been too big. Basically, the arbitrage mechanism behind a Case-Shiller index would have such high liquidity premium that it would hardly track the real thing. Unverified, but related: my roommate has informed me that the GLD ETF is currently worth a lot more than its contractual gold equivalent.