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Discovering mutual funds' holdings between disclosure dates

Author

Listed:
  • Jérémy Bellina

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Isabelle Girerd-potin

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Didier Georges

    (GIPSA-INFINITY - GIPSA - Infinite Dimensional Dynamics - GIPSA-PAD - GIPSA Pôle Automatique et Diagnostic - GIPSA-lab - Grenoble Images Parole Signal Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes)

Abstract

Mutual funds are subject to regulations that require them to periodically disclose their portfolio holdings. Periods without information can be detrimental to investors as the exact risk and performance cannot be assessed and some internal manipulations can be performed in order to beautify the disclosed holdings. In this paper, we aim to create a method that can retrieve the exact portfolio holdings of a mutual fund on a daily basis using only publicly available data. We have developed two efficient methods, the rolling window with Sequential Oscillating Selection and the rolling window with Genetic Algorithm. In a limited investment universe, the two methods are able to retrieve the exact holdings of a portfolio and the voluntary changes in the portfolio composition, under the condition of a maximum number of voluntary changes in a given period. In addition, these methods allow us to find the exact dates on which the manager changed the portfolio.

Suggested Citation

  • Jérémy Bellina & Isabelle Girerd-potin & Didier Georges, 2023. "Discovering mutual funds' holdings between disclosure dates," Post-Print hal-04537013, HAL.
    • Handle: RePEc:hal:journl:hal-04537013
    as

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