Mutual funds relationships and performance analysis

Anna D’Arcangelis () and Giulia Rotundo ()

Quality & Quantity: International Journal of Methodology, 2015, vol. 49, issue 4, 1573-1584

Abstract: The present paper aims at exploring the equity exposure of Italian equity mutual funds as they emerge from their portfolio holdings at the date of December 31st, 2010. The technique adopted in the analysis considers the construction of a bipartite network and the detection of the overlap of portfolios held by mutual funds. The relationship among stocks due to their presence in the same portfolios is analyzed, too. Methods typical of complex networks are then applied. The comparison with several performance measures allows to discuss features of active/passive style management for institutional portfolios. Copyright Springer Science+Business Media Dordrecht 2015

Keywords: Mutual funds; Active and passive management; Complex networks; Herd behavior; Corporate control (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s11135-014-0066-z

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