Anna Helmke

Assistant Professor of Finance
Owen Graduate School of Management, Vanderbilt University 



I am an Assistant Professor of Finance at the Owen Graduate School of Management at Vanderbilt University. I graduated from the Wharton School of the University of Pennsylvania with a Ph.D. in Finance.

My research focuses on financial markets, financial intermediation and portfolio theory. I study the problems faced by investors, asset managers and regulators. I am particularly interested in the rise of index investing.

If you have any comments or suggestions for my research, please reach out.

Working papers


This paper challenges the conventional wisdom that exchange-traded funds (ETFs) provide strictly better short-term payoffs than open-end mutual funds. I build a model and establish that same-index ETFs and mutual funds provide liquidity at different horizons. Investors facing higher (lower) liquidity needs and thus shorter (longer) investment horizons prefer mutual funds (ETFs). Since they can be redeemed at NAV, mutual funds holding illiquid assets provide higher payoffs when investors must redeem at short notice, but the resulting payoff complementarities make them underperform ETFs in the long run. ETFs, however, are subject to mispricing and illiquidity in the short term, especially in periods of market stress, due to arbitrageurs’ balance-sheet constraints. In equilibrium, both funds coexist when investors face heterogeneous liquidity needs. While mutual funds are susceptible to run risks, ETFs exhibit reverse run incentives. ETFs are predicted to dominate mutual funds in less liquid market segments when investors' short-term liquidity insurance needs are low. Swing pricing can help mutual funds maintain a larger equilibrium size in competition with ETFs. Hybrid multi-fund structures benefit mutual fund share classes at the cost of ETF investors.  

Work in progress

Measuring Index Fund Performance 

with Darcy Pu and Yizhen Xie

Do ETF Investor Clienteles Affect Asset Price Dynamics? 

with Benjamin Mosk and Felix Suntheim

Other publications

International Monetary Fund. 2022. Global Financial Stability Report: Navigating the High Inflation Environment. Washington, DC, October. 

Chapter 3: Asset Price Fragility in Times of Stress: The Role of Open-End Investment Funds

with Andrea Deghi, Zhi Ken Gan, Pierre Guérin, Tara Iyer, Junghwan Mok, Xinyi Su and Felix Suntheim


Vanderbilt University, Owen Graduate School of Management, 401 21st Avenue South #366, Nashville, TN 37203