In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools...

This paper combines the use of portfolio holdings data and Principal Component Analysis to create synthetic fund indexes. Synthetic funds are funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment funds. Our...

In this paper we examine the impact of UCITS IV Directive on the performance of European mutual funds. In a sample of 1435 Equity funds from December 2001 to December 2013, we empirically investigate the effects of economies of scale on the relation between size and performance. Using Chen et...

In this paper, we propose to study the distances and similarities between key performance measures based on clustering data-mining techniques. Based on 15 performance measures related to 211 investment funds and calculated on three sub-periods - 6 months, 1 year and 3 years - clustering...

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties....

Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The decomposable inequality measures allow one to gauge the inequalities within and between the populations. The Gini index is assimilated to a volatility measure in order to obtain a new...

The aim of this paper is to offer new risk indicators that enable one to classify securities of a portfolio according to their risk degrees. These indexes are issued from a new method of the covariance decomposition based on the Shapley Value. The risk indicators are computed via the well-known...

In this article, we develop the concept of histogram-valued data on value at risk for the classification of hedge fund risk. By using recent developments in data mining, it is a question of the classification of heterogeneous data in order to sort hedge funds by risk class. In practical terms,...

The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.