Anna Helmke


I am a Ph.D. Candidate in Finance at the Wharton School of the University of Pennsylvania. 

My research focuses on financial markets, financial intermediation and portfolio theory. I am particularly interested in the rise of index investing and the financial fragility associated with non-bank financial institutions.

Work in progress

Will ETFs drive Mutual Funds extinct? 

Link to paper 


I study investors' trade-off between ETFs and open-end mutual funds in the presence of idiosyncratic liquidity risk and aggregate uncertainty. Based on a portfolio choice model, I show that ETFs and mutual funds provide liquidity at different maturities. Mutual funds (ETFs) are preferred by investors facing high (low) idiosyncratic liquidity risk and shorter (longer) investment horizons. This result challenges the conventional argument that ETFs are tailored towards liquidity traders because of their intra-day trading. It emerges however directly from the differential frictions of ETFs and mutual funds. Over the long-term, externalities between mutual fund investors dilute fund holdings and generate underperformance vis-à-vis ETFs. Yet, due to their exchange traded nature and dependence on arbitrage by intermediaries, in the short-run ETFs can trade at a discount relative to mutual funds. Overall, ETFs are not predicted to fully replace index mutual funds because both fund types provide complementary liquidity provision services. 

ETFs versus Mutual Funds: Corporate borrowers' perspective


Do the non-portfolio differences between ETFs and open-end mutual funds matter for corporate borrowing

costs? ETFs are associated with an increase in asset price volatility across the cycle. This effect is driven by the arbitrage activities of authorized participants (APs) in ETF markets as well as the intra-day liquidity provision by ETFs. However, during periods of market stress, when APs face increased balance sheet constraints, ETFs are predicted to generate less selling pressure, reducing the transmission of non-fundamental demand shocks to underlying security markets compared to open-end mutual funds.

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


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