发帖
雷达卡
英文标题：
《Better to stay apart: asset commonality, bipartite network centrality,
and investment strategies》
---
作者：
Andrea Flori, Fabrizio Lillo, Fabio Pammolli, Alessandro Spelta
---
最新提交年份：
2018
---
英文摘要：
By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the Average Commonality Coefficient (ACC), which measures how frequently the assets in the fund portfolio are present in the portfolios of the other funds of the market. This indicator reflects the investment behavior of funds\' managers as a function of the popularity of the assets they held. We show that $ACC$ provides useful information to discriminate between funds investing in niche markets and those investing in more popular assets. More importantly, we find that $ACC$ is able to provide indication on the performance of the funds. In particular, we find that funds investing in less popular assets generally outperform those investing in more popular financial instruments, even when correcting for standard factors. Moreover, funds with a low $ACC$ have been less affected by the 2007-08 global financial crisis, likely because less exposed to fire sales spillovers.
---
中文摘要：
通过利用共同基金和投资组合持股之间关系的二分网络表示，我们提出了一个从网络分析中得出的指标，即平均公共性系数（ACC），它衡量基金投资组合中的资产在市场上其他基金的投资组合中出现的频率。这一指标反映了基金经理的投资行为，是他们所持资产受欢迎程度的函数。我们发现$ACC$提供了有用的信息来区分投资于利基市场的基金和投资于更受欢迎资产的基金。更重要的是，我们发现ACC$能够提供有关基金业绩的指示。特别是，我们发现投资于不太受欢迎的资产的基金通常表现优于投资于更受欢迎的金融工具的基金，即使在校正标准因子的情况下也是如此。此外，ACC美元较低的基金受2007-08年全球金融危机的影响较小，这可能是因为它们较少受到甩卖溢出的影响。
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
---
PDF下载：
-->
京公网安备 11010802022788号
