Table 2 Descriptive statistics –...

Table 2

Descriptive statistics – CoVaR/ΔCoVaR

Variable	Mean	Std. Dev	Min	Max	Obs
Market returns
Fixed-income fund	0.589	0.0816	0.264	0.704	43
Fund-of-fund	0.598	0.132	0.240	1.228	164
Money market fund	0.532	0.015	0.499	0.561	23
Multi-asset fund	0.648	0.182	0.106	1.540	236
Systemic Risk
CoVaR	0.619	0.157	0.106	1.540	466
ΔCoVaR	−7.812	0.820	−10.069	−4.601	466
CoVaR by shadow banking class
Fixed-income fund	0.589	0.082	0.264	0.704	43
Fund-of-funds	0.599	0.132	0.240	1.228	164
Money market fund	0.532	0.016	0.499	0.561	23
Multi-asset fund	0.648	0.182	0.106	1.540	236
CoVaR by sponsor
Bank	0.604	0.136	0.337	1.006	42
Insurer	0.599	0.099	0.350	0.892	67
Asset manager	0.625	0.167	0.106	1.540	357
CoVaR by investor
Institutional	0.589	0.152	0.106	0.868	23
Retail	0.619	0.157	0.165	1.540	417
ΔCoVaR by shadow banking class
Fixed-income fund	−7.554	0.768	−9.350	−5.611	43
Fund-of-funds	−7.990	0.706	−10.064	−4.601	164
Money market fund	−7.627	0.099	−7.818	−7.383	23
Multi-asset fund	−7.753	0.915	−10.069	−5.110	236
ΔCoVaR by sponsor
Bank	−7.697	0.943	−9.492	−4.601	42
Insurer	−7.828	0.817	−10.064	−5.530	67
Asset manager	−7.822	0.806	−10.069	−5.110	357
ΔCoVaR by investor
Institutional	−8.233	0.589	−10.060	−7.398	23
Retail	−7.793	0.823	−10.069	−4.601	417

Variable	Mean	Std. Dev	Min	Max	Obs
Market returns
Fixed-income fund	0.589	0.0816	0.264	0.704	43
Fund-of-fund	0.598	0.132	0.240	1.228	164
Money market fund	0.532	0.015	0.499	0.561	23
Multi-asset fund	0.648	0.182	0.106	1.540	236
Systemic Risk
CoVaR	0.619	0.157	0.106	1.540	466
ΔCoVaR	−7.812	0.820	−10.069	−4.601	466
CoVaR by shadow banking class
Fixed-income fund	0.589	0.082	0.264	0.704	43
Fund-of-funds	0.599	0.132	0.240	1.228	164
Money market fund	0.532	0.016	0.499	0.561	23
Multi-asset fund	0.648	0.182	0.106	1.540	236
CoVaR by sponsor
Bank	0.604	0.136	0.337	1.006	42
Insurer	0.599	0.099	0.350	0.892	67
Asset manager	0.625	0.167	0.106	1.540	357
CoVaR by investor
Institutional	0.589	0.152	0.106	0.868	23
Retail	0.619	0.157	0.165	1.540	417
ΔCoVaR by shadow banking class
Fixed-income fund	−7.554	0.768	−9.350	−5.611	43
Fund-of-funds	−7.990	0.706	−10.064	−4.601	164
Money market fund	−7.627	0.099	−7.818	−7.383	23
Multi-asset fund	−7.753	0.915	−10.069	−5.110	236
ΔCoVaR by sponsor
Bank	−7.697	0.943	−9.492	−4.601	42
Insurer	−7.828	0.817	−10.064	−5.530	67
Asset manager	−7.822	0.806	−10.069	−5.110	357
ΔCoVaR by investor
Institutional	−8.233	0.589	−10.060	−7.398	23
Retail	−7.793	0.823	−10.069	−4.601	417

Note(s): This table provides a summary of descriptive statistics of equity returns and systemic risk (CoVaR and ΔCoVaR). Multi-asset funds have the highest returns, followed by fixed-income funds and funds-of-funds. Multi-asset funds and funds-of-funds are more volatile, as they have higher standard deviation. Multi-asset funds, retail funds, and funds owned by asset managers have a higher contribution to systemic risk (CoVaR). Funds-of-funds and institutional funds have a higher marginal contribution to systemic risk (ΔCoVaR)

Source(s): Authors’ own work

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