Abstract
In this paper, an analysis of the performances of an active and quantitative fund management strategy is presented. The strategy consists of working with a portfolio constituted by 30 equally-weighted stock assets selected from a basket of 397 stock assets belonging to the Euro area. The asset allocation is performed in two phases: in the first phase, the 397 stock assets are split into 5 groups; in the second, 6 stock assets are selected from each of the group. The analysis focuses: i) on the specification of quantitative approaches able to effect the group formation; ii) on the definition of a profitable active and quantitative fund management strategy; iii) on the quantitative investigation of the contribution individually provided by each of the two phases to the total profitability of the fund management strategy.
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© 2008 Springer, Milan
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Lisi, F., Corazza, M. (2008). Clustering Financial Data for Mutual Fund Management. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_20
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DOI: https://doi.org/10.1007/978-88-470-0704-8_20
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0703-1
Online ISBN: 978-88-470-0704-8
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