We apply a return-based classification approach on a sample of absolute return funds registered for sale in Europe. The classification process results in eight groups with specific risk and return profiles. Each group can be characterized by two dimensions of an underlying investment style:...

As a result of the liquidity crisis in October 2008, 18 open-end real estate funds with a total volume of €26 billion in assets under management had to be liquidated. Many shareholders decided to sell their shares on the secondary market instead of awaiting the iterative liquidation of the...

In this study, we analyze the monthly fund migrations in a return-based classification scheme for European mutual funds. Accounting for the time-varying commonalities in returns, we derive a classification scheme consisting of four layers with two, six, 15, and 20 groups respectively. In the...