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In this paper, an analysis of the performances of an active and quantitative fund management strategy is presented. The strategy consists of working with a portfolio constituted by 30 equally-weighted stock assets selected from a basket of 397 stock assets belonging to the Euro area. The asset allocation is performed in two phases: in the first phase, the 397 stock assets are split into 5 groups; in the second, 6 stock assets are selected from each of the group. The analysis focuses: i) on the specification of quantitative approaches able to effect the group formation; ii) on the definition of a profitable active and quantitative fund management strategy; iii) on the quantitative investigation of the contribution individually provided by each of the two phases to the total profitability of the fund management strategy. [ABSTRACT FROM AUTHOR]