Clustering Mutual Funds by Return and Risk Levels
| Title | Clustering Mutual Funds by Return and Risk Levels |
| Publication Type | Working Paper |
| Year of Publication | 2008 |
| Authors | Lisi, F, Otranto, E |
| Number | 2008_13 |
| Keywords | cluster, distance, garch models, risk |
| Abstract | 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. |
| Citation Key | 277 |
| Attachment | Size |
|---|---|
| 178.25 KB |
