Open Access

Dominik Schulte

• The goal of this dissertation is to analyze the extent to which mutual funds employ derivatives and other complex instruments, such as borrowing of money, short selling, and security lending, and how this influences their performance and risk properties. To carry out this task, a unique dataset containing regulatory data on complex instruments use of mutual funds from the Securities and Exchange Commission (SEC) is employed. Chapter II investigates how equity mutual funds employ derivatives to mitigate the adverse effect of investor in- and outflows on mutual fund performance. Chapter III presents exhaustive evidence on how options are used by equity mutual funds and how this influences their performance and risk characteristics. Chapter IV provides evidence on the profitability of different index option strategies which may be employed by mutual funds. Chapter V analyzes how bond mutual fund use different complex instruments, such as derivatives, short sales, and repos and how theseThe goal of this dissertation is to analyze the extent to which mutual funds employ derivatives and other complex instruments, such as borrowing of money, short selling, and security lending, and how this influences their performance and risk properties. To carry out this task, a unique dataset containing regulatory data on complex instruments use of mutual funds from the Securities and Exchange Commission (SEC) is employed. Chapter II investigates how equity mutual funds employ derivatives to mitigate the adverse effect of investor in- and outflows on mutual fund performance. Chapter III presents exhaustive evidence on how options are used by equity mutual funds and how this influences their performance and risk characteristics. Chapter IV provides evidence on the profitability of different index option strategies which may be employed by mutual funds. Chapter V analyzes how bond mutual fund use different complex instruments, such as derivatives, short sales, and repos and how these instruments alter their risk and performance characteristics. Chapter VI is concerned with how international mutual funds employ foreign currency derivatives to hedge against adverse currency movements. Finally, Chapter VII concludes and offers ideas for possible future research within this important literature segment.…