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Mutual funds relationships and performance analysis

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Abstract

The present paper aims at exploring the equity exposure of Italian equity mutual funds as they emerge from their portfolio holdings at the date of December 31st, 2010. The technique adopted in the analysis considers the construction of a bipartite network and the detection of the overlap of portfolios held by mutual funds. The relationship among stocks due to their presence in the same portfolios is analyzed, too. Methods typical of complex networks are then applied. The comparison with several performance measures allows to discuss features of active/passive style management for institutional portfolios.

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Notes

  1. Funds are: Acomea Italia, Alboino Re, Allianz Azioni All Stars, Allianz Azioni Italia, Anm Italia, Arca Azioni Italia, Azimut Trend Italia, Bim Azionario Italia, Bim Azionario Small Cap Italia, Bnl Azioni Italia, Bnl Azioni Italia Pmi, Carige Azionario Italia, Eurizon Azioni Pmi Italia, Eurizon Focus Azioni Italia, Euromobiliare Azioni Italiane, Fideuram Italia, Fondersel Italia, Fondersel Pmi Italia, Fonditalia Equity Italy, Gestnord Azioni Italia, Interfund Equity Italy, Leonardo Italian Opportunity, Norvega Azionario Italia, Optima Azioni Italia, Optima Small Caps Italia, Pacto Azionario Italia, Pioneer Azionario Crescita, Prima Geo Italia, Symphonia Azionario Italia, Symphonia Azionario Small Caps, Ubi Pramerica Azioni Italia, Zenit Azionario Italia.

  2. The Annual Report of each fund includes the first 50 stocks—ranked according to the market value of the holding—and however all the stocks exceeding 0, 5 % of mutual funds’ assets.

  3. The power law distribution shows few dominant observations to the left and many small observations in a very long tail to the right.

  4. We remind that given any matrix \(A\in R^{n\times m}\) representing a network, \(\overline{A} =sign(A)\in R^{n\times m}\) and the vector \(e=(1,1,\ldots ,1)^{T}\in R^{m}\), the out-degree \(k_{out} \) can be calculated as \(k_{out} =\overline{A{}{}} e\). Given the vector \(e=(1,1,\ldots ,1)^{T}\in R^{n}\),   \(k_{in} =\overline{A}^{T}e\). If \(\overline{A} =\overline{A}^{T}\), then \(k=k_{out} =k_{in} \) is the node-degree.

  5. The FTSE MIB Index (http://www.ftse.com/products/indices/italia-series) is the primary benchmark index for the Italian equity market and represents the large cap component of the FTSE Italia All-Share Index. Capturing approximately 80 % of the domestic market capitalization, the FTSE MIB Index measures the performance of the 40 most liquid and capitalized Italian shares and seeks to replicate the broad sector weights of the Italian stock market.

  6. The present sample of funds contains 39 out of the 40 FTSE MIB.

  7. The values for each funds are Bim Azionario Small Cap Italia (4), Bnl Azioni Italia Pmi (7), Fondersel Pmi Italia (6), Optima Small Caps Italia (3), Symphonia Azionario Small Caps (10).

  8. The benchmark of Alboino Re is 100 % FTSE Italia All-Share Index.

  9. Several approaches are useful: the construction of a portfolio of not more than a specified number of stocks, which best tracks the index historically, or the selection of a smaller set of stocks that matches the index in the percent invested in a pre-specified set of characteristics (e.g. sector, industry or size of capitalization).

  10. At the date of the analysis, the first 20 stocks for size represented approximately 70 % of the entire stock market capitalization, whereas the percentage of the first 40 stocks increases to 85 %.

  11. We recall that systematic (or systemic) risk is the product of the market model beta squared and the variance of the index return.

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Authors and Affiliations

  1. Department of Economics and Management, University of Tuscia, Viterbo, Italy

    Anna Maria D’Arcangelis

  2. Department of Methods and Models for Economics, Territory, and Finance, Sapienza University of Rome, Rome, Italy

    Giulia Rotundo

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  1. Anna Maria D’Arcangelis
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  2. Giulia Rotundo
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Correspondence to Anna Maria D’Arcangelis.

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D’Arcangelis, A.M., Rotundo, G. Mutual funds relationships and performance analysis. Qual Quant 49, 1573–1584 (2015). https://doi.org/10.1007/s11135-014-0066-z

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