L'impatto degli investimenti passivi sull'efficienza del mercato e sulla rappresentazione del valore: Metodi di replica degli ETF e meccanismo di arbitraggio

Like any major innovation, passive investment has profoundly impacted the whole financial landscape. Nowadays, the way retail and professional investors allocate capital has changed dramatically. The gradual transition of capital toward passive strategies is due to the ease of portfolio diversification they offer, as well as the increasingly limited ability of active investors to outperform the market. In this thesis, I focus on the benefits of ETFs, the current issues and those that will arise in the coming years. After analysing the main theories against passive investing, I claim that there is not yet a real financial bubble created by passive investment, however, maintaining an appropriate balance will be essential in the future. In the second part of this research, I describe some technical aspects of exchange traded funds. I focus on providing a simple and concise description of the main methods for replicating the underlying assets and the various risks involved in each method. I also emphasize the importance of the arbitrage mechanism, explaining how the participants involved (Authorized Participants and market makers) capitalize on temporary inefficiencies within the system, addressing liquidity and tracking error risks. Their actions, driven by profit opportunities, are crucial for maintaining the overall efficiency of the mechanism.