7 September 2023 Financial Analysts Journal Volume 80, Issue 1

Swing Pricing Calibration: Using ETFs to Infer Swing Factors for Mutual Funds

  1. Kenechukwu Anadu, CFA
  2. John Levin
  3. Victoria Liu
  4. Noam Tanner
  5. Antoine Malfroy-Camine
  6. Sean Baker, CFA
Swing pricing might provide a way to reduce the financial stability risks posed by open-ended funds, but the swing factor can be difficult to calibrate. This article proposes using the pricing dynamics of ETFs to inform ranges of swing factors.
Read the Complete Article in the Financial Analysts Journal CFA Institute Member Content


Policymakers are assessing potential options to reduce the financial stability risks posed by open-ended mutual funds. One such option is swing pricing, or the process of adjusting a fund’s net asset value per share in response to its level of net investor activity. Calibrating a key component of swing pricing, the swing factor, can be difficult, particularly for funds that invest in certain types of debt instruments. We use the pricing dynamics of exchange-traded funds that invest primarily in short-term debt to infer a range of swing-factor-proxies for mutual funds that invest in similar assets. These proxies could be useful to inform swing factors (or costs for other economically equivalent mechanisms, such as liquidity fees) for certain bond funds, during periods of stress.

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