Swing Pricing Calibration: A Simple Thought Exercise Using ETF Pricing Dynamics to Infer Swing Factors for Mutual Funds

Anadu, Kenechukwu E.; Baker, Sean; Levin, John; Liu, Victoria; Malfroy-Camine, Antoine; Tanner, Noam

Report

Swing Pricing Calibration: A Simple Thought Exercise Using ETF Pricing Dynamics to Infer Swing Factors for Mutual Funds

Abstract: This note uses pricing dynamics for exchange-traded funds that invest primarily in short-term debt to provide rough estimates of a range of swing-factor-proxies for mutual funds that invest in similar assets. These proxies could be useful for benchmarking stress-period swing factors in which mutual funds that invest substantially in short-term debt experience large net redemptions.

Keywords: first-mover advantage; run risk; swing pricing; liquidity transformation;