CEGE4ALL: Decoding the use of derivatives in exchange traded funds

Católica Porto Business School is organising the seminar CEGE4ALL: Markets & Policy Seminar by Aneel Keswani (Bayes Business School), on “Decoding the use of derivatives in exchange traded funds”, on november 4, at 12H30 pm.

This seminar will be held in a hybrid format.
You can attend it either in person Room EP002) or online.

Registration is mandatory. Please register in the link below by November 3rd indicating if you will be attending in person or online. The weblink will be emailed to online attendees after registration.

REGISTRATION

Using data from SEC N-PORT filings, we study the use of derivatives and their impact on performance in exchange-traded funds (ETFs). We find that 60% of ETFs use derivatives with higher weight and exposure than mutual funds. In contrast to mutual funds derivatives on average contribute positively to ETF returns, especially for active ETFs. Passive ETFs primarily use derivatives to align with their derivative-based benchmarks or to hedge foreign exchange risk. Active ETFs are the heaviest users of options primarily for hedging, while leveraged ETFs mainly use swaps to amplify returns. Our analysis of flows shows that derivatives can reduce the sensitivity of investors to past performance particularly for passive funds.

Aneel Keswani joined Bayes Business School (formerly Cass Business School) in 2002, after completing his PhD from London Business School and following teaching spells at the London School of Economics and Lancaster University. He is the Director and Founder of the Centre for Asset Management Research (CAMR) at Bayes Business School and the Director of the MSc programme in Investment Management.

Aneel’s research expertise focuses on fund management particularly corporate governance and he actively supports the development of policy in the asset management space, including as an adviser on mutual fund policy to the UK regulator, the Financial Conduct Authority (FCA) and the Bank of England.

Aneel has presented his work at nearly 50 seminars and international conferences around the world and his work has been discussed in leading media outlets such as the Financial Times, the Times, Le Monde and the BBC. Aneel has received both the City University and Bayes prizes for excellence in research. He has published in world leading journals in finance including the Journal of Finance, Management Science and the Review of Finance.