Clustering Financial Data for Mutual Fund Management.

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]