Identifying similar mutual funds with respect to the underlying portfolios has found many applications in financial services ranging from fund recommender systems, competitors analysis, portfolio analytics, marketing and sales, etc. The traditional methods are either qualitative, and hence prone to biases and often not reproducible, or, are known not to capture all the nuances (non-linearities) among the portfolios from the raw data. We propose a radically new approach to identify similar funds based on the weighted bipartite network representation of funds and their underlying assets data using a sophisticated machine learning method called Node2Vec which learns an embedded low-dimensional representation of the network. We call the embedding \emph{Fund2Vec}. Ours is the first ever study of the weighted bipartite network representation of the funds-assets network in its original form that identifies structural similarity among portfolios as opposed to merely portfolio overlaps.
翻译:与基本投资组合有关的类似共同基金在金融服务中发现许多应用,包括资金建议系统、竞争者分析、投资组合分析、营销和销售等。 传统方法要么是定性的,因而容易产生偏向,往往无法复制,要么是已知无法从原始数据中捕捉投资组合中的所有细微(非线性)细微差别(非线性),我们建议采用全新的方法,根据加权的双方资金网络代表性及其基础资产数据,利用名为Node2Vec 的尖端机器学习方法,学习嵌入网络的低维度代表。我们称之为嵌入 \emph{Fund2Vec}。我们是首次研究原始形式的资金资产网络的加权双方网络代表性,确定了投资组合的结构相似性,而不是仅仅发现组合重叠。