Mutual funds relationships and performance analysis

被引：8
|
作者：
D'Arcangelis, Anna Maria [1 ]
Rotundo, Giulia [2 ]
机构：
[1] Univ Tuscia, Dept Econ & Management, Viterbo, Italy
[2] Univ Roma La Sapienza, Dept Methods & Models Econ Terr & Finance, I-00185 Rome, Italy
来源：
QUALITY & QUANTITY | 2015年 / 49卷 / 04期
关键词：
Mutual funds; Active and passive management; Complex networks; Herd behavior; Corporate control; INFORMATION; CENTRALITY;
D O I：
10.1007/s11135-014-0066-z
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
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.
引用
收藏
页码：1573 / 1584
页数：12
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