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The Journal of Wealth Management

The Journal of Wealth Management

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Article

An Analysis of the Impact of Securities Lending on the Performance of ETFs

Lee M. Dunham and Thuy H. Simpson
The Journal of Wealth Management Spring 2015, 17 (4) 75-84; DOI: https://doi.org/10.3905/jwm.2015.17.4.075
Lee M. Dunham
is an associate professor in the Heider College of Business at Creighton University in Omaha, NE. leedunham@creighton.edu
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Thuy H. Simpson
is an assistant professor in the Seidman College of Business at Grand Valley State University in Grand Rapids, MI. simpsoth@gvsu.edu
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Abstract

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.

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The Journal of Wealth Management: 17 (4)
The Journal of Wealth Management
Vol. 17, Issue 4
Spring 2015
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An Analysis of the Impact of Securities Lending on the Performance of ETFs
Lee M. Dunham, Thuy H. Simpson
The Journal of Wealth Management Jan 2015, 17 (4) 75-84; DOI: 10.3905/jwm.2015.17.4.075

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An Analysis of the Impact of Securities Lending on the Performance of ETFs
Lee M. Dunham, Thuy H. Simpson
The Journal of Wealth Management Jan 2015, 17 (4) 75-84; DOI: 10.3905/jwm.2015.17.4.075
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  • Article
    • Abstract
    • OVERVIEW OF SECURITIES LENDING
    • METHODOLOGY
    • DATA AND SAMPLE
    • EMPIRICAL RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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