Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds
Jaydip Sen and
Tamal Datta Chaudhuri
Papers from arXiv.org
Abstract:
We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches with the fund composition. We have applied our proposed framework on eight well known mutual funds of varying styles in the Indian financial market to check the consistency between their fund style and actual fund composition, and have obtained extensive results from our experiments. A detailed analysis of the results has shown that while in majority of the cases the actual allocations of funds are consistent with the corresponding fund styles, there have been some notable deviations too.
Date: 2017-05
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations:
Downloads: (external link)
http://arxiv.org/pdf/1706.08361 Latest version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1706.08361
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().