Investment communities: Behavioral attitudes and economic dynamics

Using a real-world data set encompassing the daily portfolio holdings and exposures of complex investment funds, we derive a set of quantitative attributes to capture essential behavioral features of fund managers. We find the existence and stability of three investment attitudes, namely the conservative, the reactive, and the pro-active profiles, defining communities that respond differently when facing external shocks. The conservative community has behavioral similarities that tend to decrease due to external shocks, the reactive community members greatly increase their activity level especially during turmoil phases, while delegated investors in the pro-active community are more resilient to turbulence and counterbalance the impact of the events by adjusting their portfolio exposures in advance. We show that exogenous shocks only temporarily perturb the behavioral traits of the communities which then go back to their original states once the distress is embedded.