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.