?url_ver=Z39.88-2004&rft_id=arXiv%3A1801.02205&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F3861%2F&rft.title=The+Network+of+U.S.+Mutual+Fund+Investments%3A+Diversification%2C+Similarity+and+Fragility+throughout+the%0D%0AGlobal+Financial+Crisis&rft.creator=Delpini%2C+Danilo&rft.creator=Battiston%2C+Stefano&rft.creator=Caldarelli%2C+Guido&rft.creator=Riccaboni%2C+Massimo&rft.subject=HA+Statistics&rft.subject=HB+Economic+Theory&rft.subject=HG+Finance&rft.description=Network+theory+proved+recently+to+be+useful+in+the+quantification+of+many+properties+of+financial+systems.+The+analysis+of+the+structure+of+investment+portfolios+is+a+major+application+since+their+eventual+correlation+and+overlap+impact+the+actual+risk+diversification+by+individual+investors.+We+%0D%0Anvestigate+the+bipartite+network+of+US+mutual+fund+portfolios+and+their+assets.+We+follow+its+evolution+during+the+Global+Financial+Crisis+and+analyse+the+interplay+between+diversification%2C+as+understood+in+classical+portfolio+theory%2C+and+similarity+of+the+investments+of+different+funds.+We+show+that%2C+on+average%2C+portfolios+have+become+more+diversified+and+less+similar+during+the+crisis.+However%2C+we+also+find+that+large+overlap+is+far+more+likely+than+expected+from+models+of+random+allocation+of+investments.+This+indicates+the+existence+of+strong+correlations+between+fund+portfolio+strategies.+We+introduce+a+simplified+model+of+propagation+of+financial+shocks%2C+that+we+exploit+to+show+that+a+systemic+risk+component+origins+from+the+similarity+of+portfolios.+The+network+is+still+vulnerable+after+crisis+because+of+this+effect%2C+despite+the+increase+in+the+diversification+of+portfolios.+Our+results+indicate+that+diversification+may+even+increase+systemic+risk+when+funds+diversify+in+the+same+way.+Diversification+and+similarity+can+play+antagonistic+roles+and+the+trade-off+between+the+two+should+be+taken+into+account+to+properly+assess+systemic+risk.&rft.publisher=arXiv&rft.date=2018&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nc&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F3861%2F1%2F1801.02205.pdf&rft.identifier=++Delpini%2C+Danilo+and+Battiston%2C+Stefano+and+Caldarelli%2C+Guido+and+Riccaboni%2C+Massimo++The+Network+of+U.S.+Mutual+Fund+Investments%3A+Diversification%2C+Similarity+and+Fragility+throughout+the+Global+Financial+Crisis.++Working+Paper+++arXiv+++++++(Submitted)+++&rft.relation=https%3A%2F%2Farxiv.org%2Fabs%2F1801.02205&rft.relation=arXiv%3A1801.02205