Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics?

32 Pages Posted: 10 Apr 2019

See all articles by Lukas Benz

Lukas Benz

University of Augsburg

Martin Rohleder

University of Augsburg

Janik Syryca

University of Augsburg

Marco Wilkens

University of Augsburg

Date Written: March 18, 2019

Abstract

This paper is the first to identify and classify virtually all investment instruments held by equity funds from their portfolio holdings. This enables us to analyze the effects of long and short exposures from different complex instruments including short sales, options and futures but also previously neglected derivatives like warrants and units on funds’ risk, performance and characteristics. These analyses are of general interest, especially in the light of ongoing discussions regarding further regulation of complex instrument use by mutual funds. Our empirical analyses document that more than 40% of funds use complex instruments. However, relative to their total assets, funds’ average exposure from such positions is very small with values below 1%. Consequentially, the effects of instruments are often weaker than suggested by previous research or even show opposite directions.

Keywords: equity mutual funds, risk, performance, derivatives, complex investments, holdings

JEL Classification: G11, G20, G23

Suggested Citation

Benz, Lukas and Rohleder, Martin and Syryca, Janik and Wilkens, Marco, Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics? (March 18, 2019). Available at SSRN: https://ssrn.com/abstract=3354599 or http://dx.doi.org/10.2139/ssrn.3354599

Lukas Benz (Contact Author)

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Martin Rohleder

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Janik Syryca

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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