Active mutual funds and their passive ETF investments

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2023-12-08 DOI:10.1111/jfir.12368

Hsiu-Lang Chen

引用次数: 0

Abstract

Investing in exchange-traded funds (ETFs) rather than investing directly in the underlying securities surely prompts questions for mutual funds. Why? Examination suggests the answer is to reduce overall portfolio volatility. Actively managed open-end equity funds (OEFs) that invest in ETFs tend to take short positions in securities and to short ETFs more than other securities. Investigation of the overlap in portfolio composition between OEFs and the ETFs they hold as well as their investing positions in hedging and nonhedging ETFs separately points to the main motivation for such ETF investment—hedging.

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主动型共同基金及其被动型 ETF 投资

投资交易所交易基金（ETF）而不是直接投资相关证券肯定会引发对共同基金的质疑。为什么？研究表明，答案是为了降低投资组合的整体波动性。投资于 ETF 的主动管理型开放式股票基金（OEF）倾向于持有证券空头头寸，并且做空 ETF 的程度高于其他证券。对 OEF 与其持有的 ETF 之间投资组合构成的重叠以及其分别在对冲和非对冲 ETF 中的投资头寸的调查表明了此类 ETF 投资的主要动机--对冲。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.