IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Clustering Mutual Funds by Return and Risk Levels

  • F. Lisi
  • E. Otranto

    ()

Mutual funds classifications, often made by rating agencies, are very common and sometimes criticized. In this work, a three-step statistical procedure for mutual funds classification is proposed. In the first step time series funds are characterized in terms of returns. In the second step, a clustering analysis is performed in order to obtain classes of homogeneous funds with respect to the risk levels. In particular, the risk is defined starting from an Asymmetric Threshold-GARCH model aimed to describe minimum, normal and turmoil risk. The third step merges the previous two. An application to 75 European funds belonging to 5 different categories is given.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://crenos.unica.it/crenos/node/277
Download Restriction: no

File URL: http://crenos.unica.it/crenos/sites/all/modules/pubdlcnt/pubdlcnt.php?file=http://crenos.unica.it/crenos/sites/default/files/wp/08-13.pdf&nid=277
Download Restriction: no

Paper provided by Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia in its series Working Paper CRENoS with number 200813.

as
in new window

Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:cns:cnscwp:200813
Contact details of provider: Postal: Via S. Giorgio 12, I-09124 Cagliari
Phone: +70/6756406
Fax: +70/6756402
Web page: http://www.crenos.unica.it/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  2. Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.
  3. Stephen Johnson, 1967. "Hierarchical clustering schemes," Psychometrika, Springer, vol. 32(3), pages 241-254, September.
  4. T. Kalantzis & D. Papanastassiou, 2008. "Classification of GARCH time series: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 759-764.
  5. repec:ebl:ecbull:v:13:y:2005:i:1:p:1-9 is not listed on IDEAS
  6. Otranto, Edoardo, 2008. "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4685-4698, June.
  7. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
  8. Newton Da Costa Jr & Jefferson Cunha & Sergio Da Silva, 2005. "Stock Selection Based on Cluster Analysis," Finance 0509022, EconWPA.
  9. Edoardo Otranto, 2004. "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics 0402009, EconWPA, revised 05 Mar 2004.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cns:cnscwp:200813. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antonello Pau)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.