AIM 05 TOTAL MARKET INDEX ETFs

The first ETF in the US, SPY, was launched 30 years ago. It allowed retail customers to trade the "stock market" in the same manner they traded individual stocks. Today SPY is the most security traded in US stock markets. This section explains the structure and operation of ETFs benchmarked to total market indexes for stocks and bonds.

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• Required reading

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  • Birth of an industry

    • Zweig 2016 ​​Birth of the index mutual fund - 'Bogle's folly' turns 40 - WSJ

    • Bogle 2016 ​​David and Goliath: Who wins the quantitative battle? JPM

  • ​Active vs passive performance

    • Morningstar 2022 Active-passive barometer

    • SPIVA 20220227 Fleeting alpha evidence

    • SPIVA data (current and interactive)

  • S&P 500 products

    • S&P 500 Fact sheet

    • Morningstar 2020 US fund fee study

    • UIT vs ETF

  • Whaley 2023 ETP Trading costs

    • ​Support file: ETP Trading costs support.xlsx

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• Lecture notes

  • Slides

    • Support files:​

      • SPY NAV history.xlsx

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AIM 05.1 Securities lending

ETFs often lend out the securities of the fund using repurchase agreements, and the lending income generated from these loans is used to subsidize the fund's operations. This section examines this practice.

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• Required reading

  • Short selling

    • ​Reed 2013 Short selling AROFE​

• ​Video

  • Short selling

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• Lecture notes

• • Slides

    • Support files:

      • Short selling.xlsx

      • Securities lending rates 20210115.xlsx

      • Securities lending.xlsx