Derivatives do affect mutual fund return
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Charles Cao; Eric Ghysels; Frank Hatheway
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Article
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2010
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John Wiley and Sons
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English
β 153 KB
π 1 views
Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global fu