Self-Organizing Feature Maps for the Classification of Investment Funds

Amaury Landasse (), Pierre Cardon, Vincent Wertz (), Eric de Bodt () and Michel Verleysen ()
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Amaury Landasse: Department of Information and Computer Science, Aalto University School of Science
Pierre Cardon: TOTAL
Vincent Wertz: Ecole Polytechnique de Louvain
Eric de Bodt: Université catholique de Louvain
Michel Verleysen: Université catholique de Louvain

European Journal of Economic and Social Systems, 2004, vol. 17, issue 1-2, 183-195

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.

Keywords: Classification; Mutual Fund; Investment Funds; Kohonen Maps; Ward (search for similar items in EconPapers)
JEL-codes: C45 G24 (search for similar items in EconPapers)
Date: 2004
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