SPDRs do have turnover rates and some do make capital gains distributions(MDY being a big one that every year has a CG distribution to pay out).

Here's a link to an article comparing VTGIX, VFINX and SPY in terms of pre-tax and post-tax returns over the past few years:

http://news.morningstar.com/news/Wire/0,1230,3236,00.html

(If the link doesn't work, the article is called, "Can Exchange-traded Funds Relieve Your Tax Pain?" found in the ETF section on Morningstar.com.)

JB