6:20 PM - 6:40 PM
[1M4-J-13-04] Dynamic clustering of mutual funds based on the return series
Keywords:financial informatics, dynamic clustering, mutual fund analysis
This paper shows the experimental results for 29 Japanese mutual funds that track TOPIX, including four ETFs. The results indicate that there are three clusters at terms 1, 2, 3 and 4, and four clusters at term 5. We consider that the clusters are valid because one of the clusters consists of ETFs for all terms. FBL-MONIC could detect the transitions from a cluster at term 4 to a new cluster at term 5.