Abstract
Securities lending has been a lucrative business for mutual funds and ETFs over the past decade. The authors examine the impact of securities lending activities on the return performance of U.S. equity ETFs. They find that income from securities lending has surged in recent years and was at extreme levels during the financial crisis years of 2008 and 2009. They further document that income from securities lending activities has been used by these ETFs as a means of considerably reducing tracking errors over time. These findings have important implications for investors, particularly those who use tracking error to evaluate the performance of ETFs.
| Original language | English |
|---|---|
| Pages (from-to) | 75-84 |
| Number of pages | 10 |
| Journal | Journal of Wealth Management |
| Volume | 17 |
| Issue number | 4 |
| DOIs | |
| State | Published - Mar 1 2015 |
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All Science Journal Classification (ASJC) codes
- Economics and Econometrics
- Finance
Cite this
An analysis of the impact of securities lending on the performance of ETFs. / Dunham, Lee M.; Simpson, Thuy H.
In: Journal of Wealth Management, Vol. 17, No. 4, 01.03.2015, p. 75-84.Research output: Contribution to journal › Article
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TY - JOUR
T1 - An analysis of the impact of securities lending on the performance of ETFs
AU - Dunham, Lee M.
AU - Simpson, Thuy H.
PY - 2015/3/1
Y1 - 2015/3/1
N2 - Securities lending has been a lucrative business for mutual funds and ETFs over the past decade. The authors examine the impact of securities lending activities on the return performance of U.S. equity ETFs. They find that income from securities lending has surged in recent years and was at extreme levels during the financial crisis years of 2008 and 2009. They further document that income from securities lending activities has been used by these ETFs as a means of considerably reducing tracking errors over time. These findings have important implications for investors, particularly those who use tracking error to evaluate the performance of ETFs.
AB - Securities lending has been a lucrative business for mutual funds and ETFs over the past decade. The authors examine the impact of securities lending activities on the return performance of U.S. equity ETFs. They find that income from securities lending has surged in recent years and was at extreme levels during the financial crisis years of 2008 and 2009. They further document that income from securities lending activities has been used by these ETFs as a means of considerably reducing tracking errors over time. These findings have important implications for investors, particularly those who use tracking error to evaluate the performance of ETFs.
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U2 - 10.3905/jwm.2015.17.4.075
DO - 10.3905/jwm.2015.17.4.075
M3 - Article
VL - 17
SP - 75
EP - 84
JO - Journal of Wealth Management
JF - Journal of Wealth Management
SN - 1534-7524
IS - 4
ER -