This research paper presents a methodology for estimating the trading volume on US exchanges attributable to the portfolio management activity of index funds, index ETFs and other indexing strategies. We estimate that index funds and index ETFs currently account for approximately 1% of US trading volume.
This Vanguard research paper explores how tightening financial conditions and greater policy uncertainty influence the likelihood of recession. The paper also looks at the effects on US Federal Reserve interest rate policy.
Cycle-based factor-timing strategies require moving in and out of factors based on knowledge of which factors have performed best under various economic conditions. Investors must gauge their ability to identify the key inflection points in advance. Vanguardâ€™s new Global Macro Matters paper studies the success of basing such strategies on historical returns.
Securities lending can add meaningful value for managed fund investors. But we believe it should be done in an investor-centric manner, within a strong risk-control framework with the majority of the benefits going to the fund shareholders.
06 Mar 2019
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