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No labels, no problem: Identifying investment fund cohorts through clustering

Author

Listed:
  • Almekinders, Sophie
  • Bouveret, Antoine
  • Ferrari, Massimo
  • Grill, Michael
  • Schmidt, Daniel Jonas
  • Pividori, Mattia
  • Proietti, Roberto

Abstract

This paper applies a tailored clustering approach to identify cohorts of investment funds for financial stability assessment. To define clusters, we use regulatory data on asset class exposures reported under the Alternative Investment Fund Managers Directive (AIFMD). We applied our approach to more than 10,000 alternative investment funds (AIFs) holding €3.7 trillion in assets, revealing 12 economically interpretable fund cohorts, including traditional bond and equity funds, liability-driven investment (LDI) funds, and private asset funds. Our cluster-based approach substantially outperforms traditional AIFMD categories in explaining fund return variance and points to material vulnerabilities, notably concentrated leverage in GBP-denominated LDI funds and widespread liquidity mismatches. The dispersion of these cohorts across EU jurisdictions underscores the need for oversight and cross-border coordination in ensuring the macroprudential oversight of the investment fund sector. This framework provides regulators, supervisors and macroprudential authorities with a practical framework for identifying funds whose collective behaviour could amplify systemic risks during periods of market stress. JEL Classification: G01, G11, G18, G23, C38

Suggested Citation

  • Almekinders, Sophie & Bouveret, Antoine & Ferrari, Massimo & Grill, Michael & Schmidt, Daniel Jonas & Pividori, Mattia & Proietti, Roberto, 2026. "No labels, no problem: Identifying investment fund cohorts through clustering," ESRB Occasional Paper Series 30, European Systemic Risk Board.
    • Handle: RePEc:srk:srkops:202630
    Note: 1280809
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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