An analysis of the impact of securities lending on the performance of ETFs

Lee M. Dunham, Thuy H. Simpson

Research output: Contribution to journalArticle


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 languageEnglish
Pages (from-to)75-84
Number of pages10
JournalJournal of Wealth Management
Issue number4
Publication statusPublished - Mar 1 2015


All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

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