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.

Communities and regularities in the behavior of investment fund managers

Flori, Andrea;Pammolli, Fabio;Buldyrev, Sergey V;
2019-01-01

Abstract

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.
2019
behavioral decision making; bounded rationality; clustering; communities of experts; mutual funds
File in questo prodotto:
File Dimensione Formato  
IRIS_PNAS_2019.pdf

Open Access dal 02/10/2020

: Post-Print (DRAFT o Author’s Accepted Manuscript-AAM)
Dimensione 373.52 kB
Formato Adobe PDF
373.52 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1088230
Citazioni
  • ???jsp.display-item.citation.pmc??? 4
  • Scopus 9
  • ???jsp.display-item.citation.isi??? 9
social impact