AIM 01 Exchange-traded product (ETP) market overview

ETPs have a range of product structures and asset categories. This section provides two overarching frameworks. The first is product structure. What generates the promised benchmark index return? The second is asset category or price risk. How do prices of different assets co-vary?  Diversification across asset categories is a fundamental precept of investment management.

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• Required reading

  • 2022 Investment Company Fact Book, Chapter 4, US exchange-traded funds

  • SEC 2021 U.S. Market structure and securities regulatory framework

  • Darbyshire 20230110 ProShares draws record inflow as investors bet on volatility - FT

  • Jao 2023019 Market pressures add to US active mutual fund woes - FT

  • Whaley 2023 ETP Trading costs

    • Support file: ETP Trading costs support.xlsx​

  • Whaley 2023 Creation/redemption mechanism

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• Lecture notes

  • Slides

    • ​Support files:

      • ETFdb 20221231.xlsx​