Securities laws prohibit open‐end mutual funds from borrowing more than one‐third of their capital structure because of concerns that too much borrowing may harm investors. This is the first article to examine the performance of open‐end funds that borrow money within these permissible limits. We construct a database from annual filings of open‐end domestic equity mutual funds covering 17 years from 2000 to 2016. Eighteen percent of funds borrowed money for leverage within that time. We find that borrowing funds underperform their nonborrowing peers by 62 basis points per year on a total return basis, while also incurring greater risk. After accommodating for the greater risk taking, we find that borrowers underperform by 48 to 72 basis points annually. By contrast, funds that use derivatives and other financial instruments perform about as well as unlevered mutual funds, before and after adjusting for risk, and with less volatility. This suggests that many mutual funds use derivatives to hedge risk rather than as a substitute for leverage through the capital structure. Thus borrowing may present a greater risk than derivatives, which have received more attention than borrowing. Fund investors and regulators would benefit from greater transparency into mutual fund capital structure.

中文翻译：

---

借用的共同基金

证券法禁止开放式共同基金借款超过其资本结构的三分之一，原因是担心过多的借款可能损害投资者。这是第一篇检查在这些允许范围内借入资金的开放式基金的绩效的文章。我们从2000年至2016年的17年中，使用开放式国内股票共同基金的年度申报数据构建数据库。在此期间，有18％的基金借入了杠杆资金。我们发现，在总回报基础上，借贷基金每年的表现要比不借贷的同行要低62个基点，同时还带来更大的风险。在适应更大的风险承受能力之后，我们发现借款人的表现每年下降48至72个基点。相比之下，在调整风险前后，使用衍生工具和其他金融工具的基金的表现与未杠杆的共同基金差不多，且波动性较小。这表明许多共同​​基金使用衍生工具来对冲风险，而不是通过资本结构替代杠杆。因此，借款可能会带来更大的风险比衍生物，已得到更多的关注借款。基金投资者和监管机构将从共同基金资本结构的更高透明度中受益。