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

Author

Listed:
  • Kenechukwu E. Anadu
  • Sean Baker
  • John Levin
  • Victoria Liu
  • Antoine Malfroy-Camine
  • Noam Tanner

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.

Suggested Citation

  • Kenechukwu E. Anadu & Sean Baker & John Levin & Victoria Liu & Antoine Malfroy-Camine & Noam Tanner, 2022. "Swing Pricing Calibration: A Simple Thought Exercise Using ETF Pricing Dynamics to Infer Swing Factors for Mutual Funds," Supervisory Research and Analysis Notes, Federal Reserve Bank of Boston, issue 2022-06, pages 1-18, January.
    • Handle: RePEc:fip:b00001:97404
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    References listed on IDEAS

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