Lisi, Francesco and Otranto, Edoardo (2008) Clustering mutual funds by return and risk levels. Cagliari, CRENoS. p. 9 (Working Papers CRENoS, 2008, 13). Working Paper.
Mutual funds classifications, often made by rating agencies, are very common and sometimes criticized. In this work, a three-step statistical procedure for mutual funds classification is proposed. In the first step time series funds are characterized in terms of returns. In the second step, a clustering analysis is performed in order to obtain classes of homogeneous funds with respect to the risk levels. In particular, the risk is defined starting from an Asymmetric Threshold-GARCH model aimed todescribe minimum, normal and turmoil risk. The third step merges the previous two. An application to 75 European funds belonging to 5 different categories is given.
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