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Clustering Mutual Funds by Net Asset Value Change Ratios

Published: 19 March 2021 Publication History

Abstract

The traditional factors of the clustering mutual fund (such as Net Asset Value (NAV)) are not always an efficient measure in both maximizing returns and minimizing portfolio risk. This research presents a novel measure, Net Asset Value Change Ratios for some of time durations N (NAVCR-N), to assist the mutual fund clustering. We proved the usage of the NAVCR-N as mutual fund LTF similarity measures and LTF are then selected from differing clusters to create a diversified mutual fund portfolio. Approximately a hundred mutual fund data different times from the set for the fiscal year 2010 - 2018 are applied in the experiment to evaluate the effectiveness of the random approach and our diverse approaches.

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EBEE '20: Proceedings of the 2020 2nd International Conference on E-Business and E-commerce Engineering
December 2020
79 pages
ISBN:9781450388924
DOI:10.1145/3446922
Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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Association for Computing Machinery

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Publication History

Published: 19 March 2021

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Author Tags

  1. K-mean clustering
  2. Net asset value change ratios
  3. Portfolio
  4. Return
  5. Risk

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  • King Mongkut?s Institute of Technology Ladkrabang Research Fund award number(s)

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EBEE 2020

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