La convergence de l'exposition aux risques des fonds d'investissement: le cas des mutual funds américains

Huyen Nguyen () and Frédéric Karamé
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Huyen Nguyen: GAINS - Groupe d'Analyse des Itinéraires et des Niveaux Salariaux - UM - Le Mans Université

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Abstract: We study the dynamics of exposure to different sources of risk of several US mutual fund strategies over the economic cycle. We extend the 5-factor model of Pastor and Stambaugh (2003) and like Racicot and Théoret (2016) estimate it in its version with variable coefficients to detect the evolution of the risk exposure of six strategies of funds over the period 1994 - 2015. The results show that exposure to market risk varies greatly over time for all strategies. If the market risk levels of these strategies are very different before 2000, they have become more and more homogeneous since 2008. This increasing temporal convergence persists after having been extracted from the temporal effect induced by the temporal variation of the betas of individual securities . It would emanate from the active management of portfolios but which would be based either on holding identical or similar assets, or on more or less similar trading models. All of these results imply that these strategies are not sufficiently distinct and therefore do not provide effective tools for investors to diversify their portfolio. From a macro-prudential point of view, this high level of convergence represents a threat to the stability of the financial system in the event of massive and discounted sales of these funds.

Keywords: mutual funds; comportement de prise de risque; mimétisme; filtre de Kalman; betas variables; style d'investissement (search for similar items in EconPapers)
Date: 2021-01-01
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