We propose a similarity measure between portfolios with possibly very different numbers of assets and apply it to a historical database of institutional holdings ranging from 1999 to the end of 2013. The resulting portfolio similarity measure increased steadily before the global financial crisis, and reached a maximum when the crisis occurred. We argue that the nature of this measure implies that liquidation risk from fire sales was maximal at that time. After a sharp drop in 2008, portfolio similarity resumed its growth in 2009, with a notable acceleration in 2013, reaching levels not seen since 2007.
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