美国共同基金投资网络：全球金融危机中的多样化、相似性和脆弱性
The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis
摘要：
网络理论最近被证明是有用的金融系统的许多属性的量化。对投资组合结构的分析是一个主要的应用，因为它们最终的相互关系和重叠影响到个人投资者的实际风险分散。我们研究了美国共同基金投资组合及其资产的双边网络。我们遵循其在全球金融危机期间的演变，并分析了经典投资组合理论中所理解的多元化与不同基金投资相似性之间的相互作用。我们发现，平均而言，投资组合在危机期间变得更加多样化，相似性降低。然而，我们也发现，大的重叠是远远超过预期的随机分配的投资模型。这表明基金投资组合策略之间存在很强的相关性。我们引入了一个简化的金融冲击传播模型，我们利用它来表明，一个系统性风险成分起源于投资组合的相似性。尽管投资组合的多样化程度有所提高，但由于这种影响，该网络在危机后仍然很脆弱。我们的研究结果表明，分散化甚至可能增加系统性风险时，基金分散以同样的方式。多样化和相似性可以起到对立的作用，为了正确评估系统性风险，应该考虑到两者之间的权衡。
英文摘要：
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact the actual risk diversification by individual investors. We investigate the bipartite network of US mutual fund portfolios and their assets. We follow its evolution during the Global Financial Crisis and analyse the interplay between diversification, as understood in classical portfolio theory, and similarity of the investments of different funds. We show that, on average, portfolios have become more diversified and less similar during the crisis. However, we also find that large overlap is far more likely than expected from models of random allocation of investments. This indicates the existence of strong correlations between fund portfolio strategies. We introduce a simplified model of propagation of financial shocks, that we exploit to show that a systemic risk component origins from the similarity of portfolios. The network is still vulnerable after crisis because of this effect, despite the increase in the diversification of portfolios. Our results indicate that diversification may even increase systemic risk when funds diversify in the same way. Diversification and similarity can play antagonistic roles and the trade-off between the two should be taken into account to properly assess systemic risk.
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