驾驭地缘经济风险：来自美国共同基金的证据（英）

Navigating Geoeconomic Risk: Evidence fromU.S. Mutual FundsMatteo Crosignani,Lina Han,andMarco Macchiavelli Federal Reserve Bank of New York Staff Reports, no.1172November2025https://doi.org/10.59576/sr.1172 Abstract Firm-level geoeconomic risk can affect even broadly diversified mutual fund portfolios.We study U.S.export controls that restrict sales of cutting-edge technology toselected Chinese firms for nationalsecurity reasons. The stock prices of affecteddomestic suppliers drop immediately after the policyintroduction. Mutual fundsholding these stocks experience increased volatility and lower returns. Fundmanagersrespond by selling stocks of exporters to China, buying lottery-like stocks, andincreasingportfolio concentration. While stock-picking and market-timing skills donot help, specialist and high-feefunds are better at navigating geoeconomic risk. JEL classification:G12, F51, F38Keywords:mutual funds, asset allocation, geoeconomic risk, export controls This paper presents preliminary findings and is being distributed to economists and other interestedreaders solely to stimulate discussion and elicit comments. The views expressed in this paper are those ofthe author(s) and do not necessarily reflect theposition of the Federal Reserve Bank of New York or theFederal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visithttps://www.newyorkfed.org/research/staff_reports/sr1172.html. 1Introduction Geoeconomic risk—the risk that firms incur valuation losses when countries deploy economic,trade, or financial leverage for geopolitical aims—has become a first-order concern for globalinvestors (BlackRock, 2024; Invesco, 2024). The same multinational corporations that onceoffered diversification benefits to investors may now expose them to risks that cannot bediversified away. Yet, despite this growing recognition, little is known about how geoeconomicrisk affects investor portfolios and how investors perceive and manage it. We study this question in the context of U.S. domestic equity mutual funds. Althoughtheir mandate is to invest in U.S. equities, these funds—managing nearly half of the$34 trillionU.S. mutual fund industry—hold substantial stakes in firms with significant internationalexposures (Demirci et al., 2022; Bai et al., 2022). We examine how these investors respondto the imposition of U.S. export controls on firms held in their portfolios.A key policytool in the current U.S.-China technological rivalry, export controls ban the sale of domesticcutting-edge technologies to selected foreign customers, thus imposing financial costs on asubset of “affected” domestic firms (Crosignani et al., 2025). From an empirical standpoint,export controls allow for cleanerfirm-levelidentification relative to other geoeconomic shocks,such as tariffs, which are more aggregate in nature. We find that funds holding stocks of affected firms experience higher volatility andlower returns, indicating that firm-level geoeconomic risk can penetrate even a well-diversifiedportfolio. In response to these shocks, fund managers reduce holdings of not only directlyaffected firms but also other firms that export to China, and reallocate toward lottery-like stocks. On net, portfolio concentration increases. Relative to passive funds, actively managedfunds better navigate geoeconomic shocks. However, not all management skills are equallyeffective: market-timing and stock-picking skills offer little protection, whereas specialist andhigh-fee funds are more effective at navigating geoeconomic shocks. We begin by examining how export controls affect mutual fund volatility and performanceby constructing a fund-level exposure measure. The U.S. Commerce Department restrictsdomestic companies from exporting certain goods to a list of Chinese firms deemed to be arisk to U.S. national security. We hand-collect names and dates of the Chinese firms added tothe list. We then trace the U.S. suppliers that are connected to those targeted firms usingsupply chain data from FactSet Revere.Finally, through mutual fund holdings data, weconstruct a fund-level measure of exposure to export controls as the portfolio share of affectedU.S. firms held by each fund at a given time. We find that with the imposition of exportcontrols, funds that are more exposed to affected firms display greater volatility and lowerreturns. The decline in returns is a robust finding, present in raw returns as well as in 3- and5-factor adjusted returns. We next explore how actively managed funds respond to export control shocks byexamining their trading decisions. Following the imposition of export controls, affected firmsexperience a 3.6% decline in cumulative abnormal returns. Portfolio managers may choose tohold the affected stocks if they believe that those stocks are temporarily undervalued but havelong-term upside potential. Conversely, portfolio managers may sell the affected stocks