Synthetic leverage and fund risk-taking
提出一种无需监管机密数据的合成杠杆度量方法，分析德国股票基金后发现合成杠杆显著增加整体风险承担，且风险承担型基金表现较差。
This paper studies mutual fund risk-taking through synthetic leverage. For this purpose, I propose a novel measure of synthetic leverage that does not rely on confidential regulatory data. In my empirical analysis of German equity funds, I find that synthetic leverage strongly contributes to overall risk-taking. Importantly, a simple validation exercise based on regulatory data indicates that synthetically leveraged funds indeed display larger derivatives exposures. Overall, these results indicate that synthetic leverage should be closely monitored. • This paper proposes a novel measure of synthetic leverage that does not require confidential regulatory data. • A validation exercise indicates that the proposed measure indeed captures funds’ (unobserved) derivatives exposures. • Synthetic leverage contributes to overall risk-taking. • Risk-taking funds underperform.