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Communication Dans Un Congrès Année : 2023

Discovering mutual funds' holdings between disclosure dates

Résumé

Mutual funds are subject to regulations that require them to periodically disclose their portfolio holdings. Periods without information can be detrimental to investors as the exact risk and performance cannot be assessed and some internal manipulations can be performed in order to beautify the disclosed holdings. In this paper, we aim to create a method that can retrieve the exact portfolio holdings of a mutual fund on a daily basis using only publicly available data. We have developed two efficient methods, the rolling window with Sequential Oscillating Selection and the rolling window with Genetic Algorithm. In a limited investment universe, the two methods are able to retrieve the exact holdings of a portfolio and the voluntary changes in the portfolio composition, under the condition of a maximum number of voluntary changes in a given period. In addition, these methods allow us to find the exact dates on which the manager changed the portfolio.
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Dates et versions

hal-04537013 , version 1 (08-04-2024)

Identifiants

  • HAL Id : hal-04537013 , version 1

Citer

Jérémy Bellina, Isabelle Girerd-potin, Didier Georges. Discovering mutual funds' holdings between disclosure dates. 39th International Conference of the French Finance Association (AFFI), Association Française de Finance (AFFI), Jun 2023, Bordeaux, France. ⟨hal-04537013⟩
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