Factors Affecting Investment Funds Investing in Different Asset Classes
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Abstract
This paper examines how global financial and macroeconomic factors transmit shock and volatility spillovers to investment funds investing in different asset classes. Using daily data from January 2015 to December 2025, the authors analyse three U.S. funds representing bond, commodity, and equity exposures (PIMCO, USCI, and XLK) and five global factors: 1-month and 10-year U.S. interest rates, the S&P 500, Brent crude oil, and gold. The asymmetric TGARCH models are first estimated to obtain standardized residuals and conditional variances, after which a two-regime Markov switching framework is applied to capture the differences between high- and low-volatility periods. The results show strong regime- and fund-specific spillovers. S&P 500 shocks strongly affect XLK in both regimes, while oil and gold shocks dominate USCI during turbulent periods. Volatility spillovers are most pronounced for USCI and XLK, whereas PIMCO remains relatively insulated. These findings provide regime-aware implications for investors and fund managers.
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