Vanguard: Explaining differences in funds' securities-lending returns

Securities-lending data can be hard to come by, making the entire topic rather opaque. However, regulated funds are required to disclose information on their lending activity in their annual reports. In this research paper, our authors used publicly available data to help describe the impact of lending—whether securities lending contributes to or detracts from fund returns—across index funds and ETFs.
Use this paper to:

  • The impact of securities lending on the returns of regulated funds is largely misunderstood within the investment community. Although securities lending income earned by regulated funds is recorded in a fund’s annual report, no recognized source aggregates this data for the fund industry.
  • As a result, practitioners often overestimate the impact of securities lending and extrapolate broad industry trends based on the performance of but a handful of funds, funds within a few asset classes, or funds during a single calendar year.
  • To gain a more holistic view of the contribution of securities lending to fund returns, we collected securities lending income data from a large sample of funds across several asset classes and calendar years.
  • We tested several variables to see how well they explain differences in the contribution of securities lending to fund returns, what we call “lending impact.” We found significant differences according to asset class and calendar year. Of note, we also found differences according to asset manager, which we believe to be a proxy for firm-level policies and procedures.

The full paper is available at

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