Department of Physics, Yeshiva University, New York, NY, 10033, USA.
Department of Management, Economics and Industrial Engineering, Politecnico di Milano, 20156, Milan, Italy.
Sci Rep. 2021 Mar 11;11(1):5737. doi: 10.1038/s41598-021-84680-1.
We show that some key features of the behavior of mutual funds is accounted for by a stochastic model of proportional growth. We find that the negative dependence of the variance of funds' growth rates on size is well described by an approximate power law. We discover that during periods of crisis the volatility of the largest funds' growth rates increases with respect to mid-sized funds. Our result reveals that a lower and flatter slope provides relevant information on the structure of the system. We find that growth rates volatility poorly depends on the size of the funds, thus questioning the benefits of diversification achieved by larger funds. Our findings show that the slope of the size-variance relationship can be used as a synthetic indicator to monitor the intensity of instabilities and systemic risk in financial markets.
我们证明，共同基金行为的某些关键特征可以用比例增长的随机模型来解释。我们发现，基金增长率方差与规模的负相关性可以用近似幂律很好地描述。我们发现，在危机期间，最大基金增长率的波动性相对于中型基金增加。我们的结果表明，较低且平坦的斜率提供了有关系统结构的相关信息。我们发现，增长率的波动性与基金的规模无关，因此质疑了大型基金通过多元化获得的收益。我们的研究结果表明，规模-方差关系的斜率可以用作综合指标，以监测金融市场不稳定性和系统性风险的强度。
