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<p>This study quantifies the impact of a reallocation of capital between investment strategies on the cross section of their performance when capital flows are the sole transmission channel. The main finding of our counterfactual analysis is that the capacity of strategies, correlation of returns, and the cyclical nature of investment strategies’ risk premia can be explained by the self- and cross-impact caused by simple capital reallocation in an evolutionary finance model.</p>

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Complementarity and substitutability of investment strategies

  • 期刊论文

  • 发表日期：

    2026年2月6日

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  • Nikolay Doskov,
  • Thorsten Hens,
  • Klaus Reiner Schenk-Hoppé

摘要

This study quantifies the impact of a reallocation of capital between investment strategies on the cross section of their performance when capital flows are the sole transmission channel. The main finding of our counterfactual analysis is that the capacity of strategies, correlation of returns, and the cyclical nature of investment strategies’ risk premia can be explained by the self- and cross-impact caused by simple capital reallocation in an evolutionary finance model.