Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches with th...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	arXiv.org 2017-05
Hauptverfasser:	Sen, Jaydip, Tamal Datta Chaudhuri
Format:	Artikel
Sprache:	eng
Schlagworte:	Allocations Composition Consistency Decomposition Investments Mutual funds Quantitative Finance - Statistical Finance Time series
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!