Clustering financial data for mutual fund management

In this paper, an analysis concerning the performances of an active and quantitative fund management strategy is presented. The strategy consists in 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 one, the 397 stock assets are split into 5 groups; in the second one, 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.