Communities and regularities in the behavior of investment fund managers
- Univ. of Milan (Italy)
- Univ. of Milan (Italy); Human Technopole, Milan (Italy)
- Human Technopole, Milan (Italy); Yeshiva Univ., New York, NY (United States)
- Univ. of Siena (Italy)
- Boston Univ., MA (United States)
We analyze a large microlevel dataset on the full daily portfolio holdings and exposures of 22 complex investment funds to shed light on the behavior of professional investment fund managers. We introduce a set of quantitative attributes that capture essential distinctive features of manager allocation strategies and behaviors. These characteristics include turnover, attitude toward hedging, portfolio concentration, and reaction to external events, such as changes in market conditions and flows of funds. We find the existence and stability of three main investment attitude profiles: conservative, reactive, and proactive. The conservative profile shows low turnover and resilience against external shocks; the reactive one is more prone to respond to market condition changes; and members of the proactive profile frequently adjust their portfolio allocations, but their behavior is less affected by market conditions. We find that exogenous shocks temporarily alter this configuration, but communities return to their original state once these external shocks have been absorbed and their effects vanish.
- Research Organization:
- UT-Battelle LLC/ORNL, Oak Ridge, TN (United States)
- Sponsoring Organization:
- USDOE; Competitività, Regole, Mercati (CERM) Foundation; National Science Foundation (NSF); Defense Threat Reduction Agency (DTRA)
- Grant/Contract Number:
- AC07-05ID14517; PHY-1505000; CMMI-1125290; CHE-1213217; HDTRA1-14-1-0017
- OSTI ID:
- 1625019
- Journal Information:
- Proceedings of the National Academy of Sciences of the United States of America, Vol. 116, Issue 14; ISSN 0027-8424
- Publisher:
- National Academy of SciencesCopyright Statement
- Country of Publication:
- United States
- Language:
- English
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