In this study, we analyze the monthly fund migrations in a return-based classification scheme for European mutual funds. Accounting for the time-varying commonalities in returns, we derive a classification scheme consisting of four layers with two, six, 15, and 20 groups respectively. In the...

We apply a return-based classification approach on a sample of absolute return funds registered for sale in Europe. The classification process results in eight groups with specific risk and return profiles. Each group can be characterized by two dimensions of an underlying investment style:...