@article{delpini2018network,
abstract = {We investigate the bipartite network of portfolios managed by US mutual funds and the assets in those portfolios. We find signatures of a com- plex network topology, like a scale-free distribution in the number of assets held by portfolios. We trace the evolution of the system during the Global Fi- nancial Crisis, when the number of different investments raised steeply, funds' diversification increased, and the network density reduced dramatically. By studying the similarity of fund portfolios we discover that funds tend to invest in the same assets, thus introducing a systemic risk component. This adds to the intrinsic market risk, and reflects the existences of a small number of large connected clusters corresponding to the dominant investment strategies. Our findings agree with the expected picture, dating back to Markowitz portfolio theory, of funds trying to hedge risk by diversifying more. But similarities between portfolios introduce a systemic coupling that should be properly accounted for in risk estimation},
archivePrefix = {arXiv},
arxivId = {1801.02205},
author = {Delpini, D and Battiston, Stefano and Caldarelli, Guido and Riccaboni, M.},
eprint = {1801.02205},
journal = {Working Paper arxiv 1801.02205},
keywords = {DOLFINS{\_}T2.2,DOLFINS{\_}WP2,DOLFINS{\_}working{\_}paper},
mendeley-tags = {DOLFINS{\_}T2.2,DOLFINS{\_}WP2,DOLFINS{\_}working{\_}paper},
title = {{The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis}},
url = {https://arxiv.org/abs/1801.02205},
year = {2018}
}

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