The Assessment of Investment Fund Classification Using Cluster Analysis
Journal Title: Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu - Year 2017, Vol 77, Issue 6
Abstract
The aim of the article was to verify the research question, whether the fund classification which is based on fund policy, can provide investors with a reliable tool to anticipate return and investment risk of funds. In the research, it was used the cluster analysis. Results of the study show that criteria for grouping funds adopted by the Chamber of Fund and Asset Management (IZFA) (based on the investment policy, ie the structure of assets of fund portfolios) do not fully identify the basic characteristics of funds such as the rate of return and investment risk. This conclusion applies in particular to mixed and equity funds. This is most likely due to the fact that the funds’ investment policy criteria defined by the IZFA in their classification of funds were defined in a too flexible way. However, it should be emphasized that the non-compliance of funds from the IZFA classification with the classification based on rates of return and investment risk was characterized by the fact that the selection of a fund with a theoretically higher level of risk and the expected rate of return has in reality, proved to be the choice of a fund with a lower rate of return and lower investment risk.
Authors and Affiliations
Adam Adamczyk, Dawid Dawidowicz
Keywords
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