Unmasking Mutual Fund Derivative Use

• 成果类型: Article
• 署名作者: Kaniel, Ron; Wang, Pingle
• 署名单位: University of Rochester; Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf001
• 发表日期: 2025-02-15
• 页码: 1120-1166
• 关键词: G01; G11; G12; G14; G23; CRISIS; FLOWS

摘要

Using new SEC data, we study fund derivative use and its impact on performance. Despite small portfolio weights, derivatives contribute largely to fund returns. Contrary to prior research, we find most employ derivatives to amplify, not hedge, equity returns. Using machine learning to classify funds' derivative strategies reveals high specializations linked to information-related trading, liquidity management, gaining exposure, or hedging motives. Long index derivative users drive the amplification. During COVID-19, these users significantly increased derivative use more than others and shifted strategies, but initially lost on existing positions and then on newly opened short positions when markets unexpectedly rebounded.