Discovering mutual funds' holdings between disclosure dates

Jérémy Bellina (), Isabelle Girerd-potin () and Didier Georges ()
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Jérémy Bellina: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes
Isabelle Girerd-potin: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes
Didier Georges: GIPSA-INFINITY - GIPSA - Infinite Dimensional Dynamics - GIPSA-PAD - GIPSA Pôle Automatique et Diagnostic - GIPSA-lab - Grenoble Images Parole Signal Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes

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Abstract: Mutual funds are subject to regulations that require them to periodicallydisclose their portfolio holdings. Periods without information canbe detrimental to investors as the exact risk and performance cannot beassessed and some internal manipulations can be performed in order tobeautify the disclosed holdings. In this paper, we aim to create a methodthat can retrieve the exact portfolio holdings of a mutual fund on a dailybasis using only publicly available data. We have developed two efficientmethods, the rolling window with Sequential Oscillating Selection and therolling window with Genetic Algorithm. In a limited investment universe,the two methods are able to retrieve the exact holdings of a portfolio andthe voluntary changes in the portfolio composition, under the conditionof a maximum number of voluntary changes in a given period. In addition,these methods allow us to find the exact dates on which the managerchanged the portfolio.

Keywords: Genetic Algorithm; Portfolio holdings estimation; Mutual funds; Inverse problem (search for similar items in EconPapers)
Date: 2023-06-05
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Published in AFFI 2023 - 39th International Conference of the French Finance Association (AFFI), Association Française de Finance (AFFI), Jun 2023, Bordeaux, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04537013

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