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Self-Organizing Feature Maps for the Classification of Investment Funds

Author

Listed:
  • Landasse, Amaury

    (Department of Information and Computer Science, Aalto University School of Science)

  • Cardon, Pierre

    (TOTAL)

  • Wertz, Vincent

    (Ecole Polytechnique de Louvain)

  • de Bodt, Eric

    (Université catholique de Louvain)

  • Verleysen, Michel

    (Université catholique de Louvain)

Abstract

The ranking of investment funds regularly carried out by the financial press is a major concern for investors. In this context, there exists a serious risk of distortion between the announced strategy and the actual strategy implemented by the managers of the funds. Indeed these managers could try to have the funds they manage classified in a category that does not reflect the reality of their strategy, in order to be favourably compared to the performances of other funds in the same category. Our work shows how an independent classification based on the style analysis, originally introduced by Sharpe in 1992 (Sharpe 1997), can be built. This leads to a classification of the funds based on characteristics extracted from their rates of returns and less prone to any manipulation. The proposed classification is compared to a reference classification (ICDI and S&P). The analyses of the differences between the obtained results and, in particular, of their origin speak for themselves.

Suggested Citation

  • Landasse, Amaury & Cardon, Pierre & Wertz, Vincent & de Bodt, Eric & Verleysen, Michel, 2004. "Self-Organizing Feature Maps for the Classification of Investment Funds," European Journal of Economic and Social Systems, Lavoisier, vol. 17(1-2), pages 183-195.
    • Handle: RePEc:ris:ejessy:0137
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    Citations

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    Cited by:

    1. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.

    More about this item

    Keywords

    Classification; Mutual Fund; Investment Funds; Kohonen Maps; Ward;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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