This paper studies how the degree of heterogeneity among hedge funds' demand orders for a risky asset affects the possibility of their defaults being clustered. We find that fire-sales caused by margin calls is a necessary, yet not a sufficient condition for defaults to be clustered. We show that when the degree of heterogeneity is sufficiently high, poorly performing HFs are able to obtain a higher than usual market share, which leads to an improvement of their performance. Consequently, their survival time is prolonged, increasing the probability of them remaining in operation until the downturn of the next leverage cycle. This leads to an increase in the probability of poorly and high-performing hedge funds to default in sync at a later time, and thus also in the probability of collective defaults. Our analytical results establish a connection between the nontrivial aggregate statistics and the presence of infinite memory in the process governing the hedge funds' defaults.

本文研究了对冲基金对风险资产的需求订单之间的异质性程度如何影响其违约聚集的可能性。我们发现追加保证金导致的甩卖是违约聚集的必要条件，但不是充分条件。我们表明，当异质性程度足够高时，表现不佳的 HF 能够获得比通常更高的市场份额，从而提高其性能。因此，它们的生存时间被延长，增加了它们在下一个杠杆周期低迷之前继续运营的可能性。这导致业绩不佳和业绩良好的对冲基金在以后同步违约的可能性增加，从而也导致集体违约的可能性增加。