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Mutual funds relationships and performance analysis

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  • Anna D’Arcangelis
  • Giulia Rotundo

Abstract

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. Copyright Springer Science+Business Media Dordrecht 2015

Suggested Citation

  • Anna D’Arcangelis & Giulia Rotundo, 2015. "Mutual funds relationships and performance analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1573-1584, July.
    • Handle: RePEc:spr:qualqt:v:49:y:2015:i:4:p:1573-1584
    DOI: 10.1007/s11135-014-0066-z
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    References listed on IDEAS

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    Cited by:

    1. Martin Kyere & Marcel Ausloos, 2021. "Corporate governance and firms financial performance in the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1871-1885, April.
    2. D'Arcangelis, Anna Maria & Rotundo, Giulia, 2021. "Herding in mutual funds: A complex network approach," Journal of Business Research, Elsevier, vol. 129(C), pages 679-686.
    3. D’Arcangelis, Anna Maria & Levantesi, Susanna & Rotundo, Giulia, 2021. "A complex networks approach to pension funds," Journal of Business Research, Elsevier, vol. 129(C), pages 687-702.
    4. Li, Jie & Ren, Da & Feng, Xu & Zhang, Yongjie, 2016. "Network of listed companies based on common shareholders and the prediction of market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 508-521.
    5. Herteliu, Claudiu & Levantesi, Susanna & Rotundo, Giulia, 2021. "Network analysis of pension funds investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 579(C).

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