5189 lines
771 KiB
Plaintext
5189 lines
771 KiB
Plaintext
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{
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"cells": [
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{
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"cell_type": "markdown",
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"id": "13c6141d",
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"metadata": {},
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"source": [
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"# Behavioral Clustering of Carmignac Investors\n",
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"\n",
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"This notebook implements two complementary clustering analyses:\n",
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"\n",
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"| | Scope | Approach |\n",
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"|---|---|---|\n",
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"| **Part 1** | All active accounts (~7,000) | Global behavioral clustering |\n",
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"| **Part 2** | Top ~400 accounts (AUM > €5M) | High-conviction clustering with performance reactivity features |\n",
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"\n",
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"Both analyses share the same preprocessing pipeline (RobustScaler, MAD winsorization) and visualization conventions (robust z-score heatmaps).\n",
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"\n",
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"---\n",
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"**Structure:**\n",
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"1. Imports & Configuration\n",
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"2. Data Loading\n",
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"3. Monthly Panel Construction\n",
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"4. Feature Engineering\n",
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"5. **Part 1** — Global Clustering (all accounts)\n",
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" - 5a. Feature selection & preprocessing\n",
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" - 5b. K-selection & clustering\n",
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" - 5c. Cluster profiles (behavioral + allocation)\n",
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" - 5d. Asset-type sub-clustering & cross-analysis\n",
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"6. **Part 2** — Top 400 Accounts Clustering\n",
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" - 6a. Account selection & feature engineering\n",
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" - 6b. K-selection & clustering\n",
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" - 6c. Cluster profiles & churn analysis\n",
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"7. Cross-Analysis: Global vs Top 400\n"
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]
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},
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{
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"cell_type": "markdown",
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"id": "28e588fe",
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"metadata": {},
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"source": [
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"---\n",
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"## 1. Imports & Configuration\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 1,
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"id": "3bc1ffe0",
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"metadata": {},
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"outputs": [],
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"source": [
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"import os\n",
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"import re\n",
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"import s3fs\n",
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"import warnings\n",
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"warnings.filterwarnings(\"ignore\")\n",
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"\n",
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"import numpy as np\n",
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"import pandas as pd\n",
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"import matplotlib.pyplot as plt\n",
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"import seaborn as sns\n",
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"\n",
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"from sklearn.preprocessing import RobustScaler\n",
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"from sklearn.cluster import KMeans\n",
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"from sklearn.metrics import silhouette_score, davies_bouldin_score\n",
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"\n",
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"sns.set_style(\"whitegrid\")\n",
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"pd.set_option(\"display.max_columns\", 200)\n",
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"pd.set_option(\"display.max_rows\", 200)\n",
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"\n",
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"EPS = 1e-9\n",
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"RANDOM_STATE = 42"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"id": "69d2dc25",
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"metadata": {},
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"outputs": [],
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"source": [
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"# Column names\n",
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"ID_COL = \"Registrar Account - ID\"\n",
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"ISIN_COL = \"Product - Isin\"\n",
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"FUND_COL = \"Product - Fund\"\n",
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"ASSET_COL = \"Product - Asset Type\"\n",
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"FLOW_DATE_COL = \"Centralisation Date\"\n",
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"AUM_DATE_COL = \"Centralisation Date\"\n",
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"FLOW_QTY_COL = \"Quantity - NetFlows\"\n",
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"FLOW_SUB_COL = \"Quantity - Subscription\"\n",
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"FLOW_RED_COL = \"Quantity - Redemption\"\n",
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"AUM_QTY_COL = \"Quantity - AUM\"\n",
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"AUM_VAL_COL = \"Value - AUM €\"\n",
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"REGION_COL = \"Registrar Account - Region\"\n",
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"COUNTRY_COL = \"RegistrarAccount - Country\"\n",
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"NAV_DATE_COL = \"Dat\"\n",
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"NAV_ISIN_COL = \"Isin\"\n",
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"NAV_PRICE_COL = \"Price (TF PartPrice)\"\n",
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"NAV_BENCH_COL = \"PriceBench\"\n",
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"RATE_DATE_COL = \"Date\"\n",
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"RATE_VAL_COL = \"Yld to Maturity\""
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"id": "bf5b7a0a",
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"metadata": {},
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"outputs": [],
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"source": [
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"# SHARED UTILITIES\n",
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"def robust_zscore(s):\n",
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" med = np.nanmedian(s)\n",
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" mad = np.nanmedian(np.abs(s - med))\n",
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" if mad == 0 or np.isnan(mad):\n",
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" return np.zeros(len(s))\n",
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" return (s - med) / (1.4826 * mad)\n",
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"\n",
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"def plot_heatmap(dfc, profile_vars, cluster_col, title, figsize=(16, 4)):\n",
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" \"\"\"Cluster signature heatmap using robust z-scores, capped at ±3 for readability.\"\"\"\n",
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" dfc_viz = dfc[profile_vars + [cluster_col]].copy()\n",
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" for col in profile_vars:\n",
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" vals = pd.to_numeric(dfc_viz[col], errors=\"coerce\").to_numpy(dtype=float)\n",
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" lo = np.nanpercentile(vals, 2)\n",
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" hi = np.nanpercentile(vals, 98)\n",
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" dfc_viz[col] = np.clip(vals, lo, hi)\n",
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" prof = dfc_viz.groupby(cluster_col)[profile_vars].median()\n",
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" prof_z = prof.apply(lambda col: robust_zscore(col.values), axis=0)\n",
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" prof_z = prof_z.clip(-3, 3) # cap for readability\n",
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" plt.figure(figsize=figsize)\n",
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" sns.heatmap(prof_z, cmap=\"RdBu_r\", center=0, annot=True, fmt=\".2f\",\n",
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" xticklabels=profile_vars,\n",
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" yticklabels=[f\"Cluster {i}\" for i in range(len(prof))])\n",
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" plt.title(title)\n",
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" plt.xticks(rotation=45, ha=\"right\")\n",
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" plt.tight_layout()\n",
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" plt.show()\n",
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" return prof\n",
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"\n",
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"def winsorize_mad(series, n_sigma=3):\n",
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" \"\"\"Winsorize using MAD n-sigma rule. Falls back to p95 clip when MAD~0.\"\"\"\n",
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" vals = pd.to_numeric(series, errors=\"coerce\").to_numpy(dtype=float)\n",
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" med = np.nanmedian(vals)\n",
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" mad = np.nanmedian(np.abs(vals - med)) * 1.4826\n",
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" if mad > 0:\n",
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" return np.clip(vals, med - n_sigma * mad, med + n_sigma * mad)\n",
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" else:\n",
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" return np.clip(vals, 0, np.nanpercentile(vals, 95))\n",
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"\n",
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"def add_months_since_last_tx(dfc, df_month, id_col, suffix=\"\"):\n",
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" \"\"\"Adds months_since_last_tx[suffix] to dfc.\"\"\"\n",
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" col_name = f\"months_since_last_tx{suffix}\"\n",
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" reference_date = df_month[\"month\"].max()\n",
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" last_active = (\n",
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" df_month[df_month[\"active_month\"] == 1]\n",
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" .groupby(id_col)[\"month\"]\n",
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" .max()\n",
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" .reset_index(name=\"last_active_month\")\n",
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" )\n",
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" last_active[col_name] = (\n",
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" (reference_date.to_period(\"M\") -\n",
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" last_active[\"last_active_month\"].dt.to_period(\"M\"))\n",
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" .apply(lambda x: x.n)\n",
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" )\n",
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" dfc = dfc.merge(last_active[[id_col, col_name]], on=id_col, how=\"left\")\n",
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" max_months = dfc[col_name].max()\n",
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" dfc[col_name] = dfc[col_name].fillna(max_months + 1)\n",
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" return dfc\n",
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"\n",
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"\n",
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"def add_months_since_last_tx_by_group(df, id_cols, active_col=\"active_month\", month_col=\"month\", suffix=\"\"):\n",
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" col_name = f\"months_since_last_tx{suffix}\"\n",
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" reference_date = df[month_col].max()\n",
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"\n",
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" last_active = (\n",
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" df[df[active_col] == 1]\n",
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" .groupby(id_cols)[month_col]\n",
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" .max()\n",
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" .reset_index(name=\"last_active_month\")\n",
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" )\n",
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"\n",
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" last_active[col_name] = (\n",
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" (reference_date.to_period(\"M\") - last_active[\"last_active_month\"].dt.to_period(\"M\"))\n",
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" .apply(lambda x: x.n)\n",
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" )\n",
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"\n",
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" return last_active[[*id_cols, col_name]]"
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]
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},
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{
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"cell_type": "markdown",
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"id": "312153e6",
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"metadata": {},
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"source": [
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"---\n",
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"## 2. Data Loading\n",
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"\n",
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"Three data sources are used:\n",
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"- **AUM** (repaired): monthly share quantities per account and ISIN\n",
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"- **Flows**: daily net transactions, aggregated to monthly\n",
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"- **NAV / Rates**: fund performance and interest rate data for enrichment\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"id": "001d9af2-07db-4813-937e-693103823359",
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"metadata": {
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"scrolled": true
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},
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"outputs": [
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{
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"data": {
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"text/html": [
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"<div>\n",
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"<style scoped>\n",
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" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
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" }\n",
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"\n",
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>reg_orig</th>\n",
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" <th>reg_used</th>\n",
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" <th>Agreement - Code</th>\n",
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" <th>Company - Id</th>\n",
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" <th>Company - Ultimate Parent Id</th>\n",
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" <th>Registrar Account - Region</th>\n",
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" <th>RegistrarAccount - Country</th>\n",
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" <th>Product - Asset Type</th>\n",
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" <th>Product - Strategy</th>\n",
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" <th>Product - Legal Status</th>\n",
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" <th>Product - Is Dedie ?</th>\n",
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" <th>Product - Fund</th>\n",
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" <th>Product - Shareclass Type</th>\n",
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" <th>Product - Shareclass Currency</th>\n",
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" <th>Product - Isin</th>\n",
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" <th>Centralisation Date</th>\n",
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" <th>Quantity - AUM</th>\n",
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" <th>Value - AUM CCY</th>\n",
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" <th>Value - AUM €</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>0</th>\n",
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" <td>18872</td>\n",
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" <td>18872</td>\n",
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" <td>L104</td>\n",
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" <td>2257.0</td>\n",
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" <td>33675.0</td>\n",
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" <td>Switzerland</td>\n",
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" <td>Switzerland</td>\n",
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" <td>Diversified</td>\n",
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" <td>Patrimoine</td>\n",
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" <td>FCP</td>\n",
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" <td>NO</td>\n",
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" <td>Carmignac Patrimoine</td>\n",
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" <td>A</td>\n",
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" <td>EUR</td>\n",
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" <td>FR0010135103</td>\n",
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" <td>2015-01-31</td>\n",
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" <td>49094.915</td>\n",
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" <td>3.242523e+07</td>\n",
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" <td>3.242523e+07</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1</th>\n",
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" <td>18872</td>\n",
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" <td>18872</td>\n",
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|||
|
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" <td>L104</td>\n",
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|||
|
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" <td>2257.0</td>\n",
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|
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" <td>33675.0</td>\n",
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" <td>Switzerland</td>\n",
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" <td>Switzerland</td>\n",
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" <td>Equity</td>\n",
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" <td>Investissement Latitude</td>\n",
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" <td>FCP</td>\n",
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" <td>NO</td>\n",
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" <td>Carmignac Investissement Latitude</td>\n",
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" <td>A</td>\n",
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" <td>EUR</td>\n",
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" <td>FR0010147603</td>\n",
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" <td>2015-01-31</td>\n",
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" <td>1717.000</td>\n",
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" <td>4.767422e+05</td>\n",
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" <td>4.767422e+05</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2</th>\n",
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" <td>18872</td>\n",
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" <td>18872</td>\n",
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|
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" <td>L104</td>\n",
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|||
|
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" <td>2257.0</td>\n",
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" <td>33675.0</td>\n",
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" <td>Switzerland</td>\n",
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|
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" <td>Switzerland</td>\n",
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|
|
" <td>Equity</td>\n",
|
|||
|
|
" <td>Investissement</td>\n",
|
|||
|
|
" <td>FCP</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>A</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>FR0010148981</td>\n",
|
|||
|
|
" <td>2015-01-31</td>\n",
|
|||
|
|
" <td>8254.870</td>\n",
|
|||
|
|
" <td>9.862671e+06</td>\n",
|
|||
|
|
" <td>9.862671e+06</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>L104</td>\n",
|
|||
|
|
" <td>2257.0</td>\n",
|
|||
|
|
" <td>33675.0</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Equity</td>\n",
|
|||
|
|
" <td>Euro-Entrepreneurs</td>\n",
|
|||
|
|
" <td>FCP</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Entrepreneurs</td>\n",
|
|||
|
|
" <td>A</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>FR0010149112</td>\n",
|
|||
|
|
" <td>2015-01-31</td>\n",
|
|||
|
|
" <td>278.923</td>\n",
|
|||
|
|
" <td>7.664525e+04</td>\n",
|
|||
|
|
" <td>7.664525e+04</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>L104</td>\n",
|
|||
|
|
" <td>2257.0</td>\n",
|
|||
|
|
" <td>33675.0</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Fixed Income</td>\n",
|
|||
|
|
" <td>Sécurité</td>\n",
|
|||
|
|
" <td>FCP</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Sécurité</td>\n",
|
|||
|
|
" <td>AW & AW-R</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>FR0010149120</td>\n",
|
|||
|
|
" <td>2015-01-31</td>\n",
|
|||
|
|
" <td>1807.267</td>\n",
|
|||
|
|
" <td>3.078318e+06</td>\n",
|
|||
|
|
" <td>3.078318e+06</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>...</th>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" <td>...</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1088393</th>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>Diversified</td>\n",
|
|||
|
|
" <td>Inflation Solution</td>\n",
|
|||
|
|
" <td>SICAV</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Portfolio Inflation Solution</td>\n",
|
|||
|
|
" <td>F</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>LU2715954330</td>\n",
|
|||
|
|
" <td>2025-10-31</td>\n",
|
|||
|
|
" <td>81065.419</td>\n",
|
|||
|
|
" <td>9.533293e+06</td>\n",
|
|||
|
|
" <td>9.533293e+06</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1088394</th>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>Diversified</td>\n",
|
|||
|
|
" <td>Inflation Solution</td>\n",
|
|||
|
|
" <td>SICAV</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Portfolio Inflation Solution</td>\n",
|
|||
|
|
" <td>A</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>LU2715954504</td>\n",
|
|||
|
|
" <td>2025-10-31</td>\n",
|
|||
|
|
" <td>6853.363</td>\n",
|
|||
|
|
" <td>7.978685e+05</td>\n",
|
|||
|
|
" <td>7.978685e+05</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1088395</th>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>Private Assets</td>\n",
|
|||
|
|
" <td>Evergreen</td>\n",
|
|||
|
|
" <td>SICAV</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac S.A. SICAV - PART II UCI Private Eve...</td>\n",
|
|||
|
|
" <td>A</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>LU2799473124</td>\n",
|
|||
|
|
" <td>2025-10-31</td>\n",
|
|||
|
|
" <td>4212.234</td>\n",
|
|||
|
|
" <td>5.263608e+05</td>\n",
|
|||
|
|
" <td>5.263608e+05</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1088396</th>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>Equity</td>\n",
|
|||
|
|
" <td>Tech Solutions</td>\n",
|
|||
|
|
" <td>SICAV</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Portfolio Tech Solutions</td>\n",
|
|||
|
|
" <td>A</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>LU2809794220</td>\n",
|
|||
|
|
" <td>2025-10-31</td>\n",
|
|||
|
|
" <td>31469.523</td>\n",
|
|||
|
|
" <td>4.438147e+06</td>\n",
|
|||
|
|
" <td>4.438147e+06</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1088397</th>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>Private Client</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>France</td>\n",
|
|||
|
|
" <td>Equity</td>\n",
|
|||
|
|
" <td>Tech Solutions</td>\n",
|
|||
|
|
" <td>SICAV</td>\n",
|
|||
|
|
" <td>NO</td>\n",
|
|||
|
|
" <td>Carmignac Portfolio Tech Solutions</td>\n",
|
|||
|
|
" <td>F</td>\n",
|
|||
|
|
" <td>EUR</td>\n",
|
|||
|
|
" <td>LU2809794576</td>\n",
|
|||
|
|
" <td>2025-10-31</td>\n",
|
|||
|
|
" <td>554.301</td>\n",
|
|||
|
|
" <td>7.871629e+04</td>\n",
|
|||
|
|
" <td>7.871629e+04</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"<p>1088398 rows × 19 columns</p>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" reg_orig reg_used Agreement - Code Company - Id \\\n",
|
|||
|
|
"0 18872 18872 L104 2257.0 \n",
|
|||
|
|
"1 18872 18872 L104 2257.0 \n",
|
|||
|
|
"2 18872 18872 L104 2257.0 \n",
|
|||
|
|
"3 18872 18872 L104 2257.0 \n",
|
|||
|
|
"4 18872 18872 L104 2257.0 \n",
|
|||
|
|
"... ... ... ... ... \n",
|
|||
|
|
"1088393 Private Client Private Client Private Client Private Client \n",
|
|||
|
|
"1088394 Private Client Private Client Private Client Private Client \n",
|
|||
|
|
"1088395 Private Client Private Client Private Client Private Client \n",
|
|||
|
|
"1088396 Private Client Private Client Private Client Private Client \n",
|
|||
|
|
"1088397 Private Client Private Client Private Client Private Client \n",
|
|||
|
|
"\n",
|
|||
|
|
" Company - Ultimate Parent Id Registrar Account - Region \\\n",
|
|||
|
|
"0 33675.0 Switzerland \n",
|
|||
|
|
"1 33675.0 Switzerland \n",
|
|||
|
|
"2 33675.0 Switzerland \n",
|
|||
|
|
"3 33675.0 Switzerland \n",
|
|||
|
|
"4 33675.0 Switzerland \n",
|
|||
|
|
"... ... ... \n",
|
|||
|
|
"1088393 Private Client France \n",
|
|||
|
|
"1088394 Private Client France \n",
|
|||
|
|
"1088395 Private Client France \n",
|
|||
|
|
"1088396 Private Client France \n",
|
|||
|
|
"1088397 Private Client France \n",
|
|||
|
|
"\n",
|
|||
|
|
" RegistrarAccount - Country Product - Asset Type \\\n",
|
|||
|
|
"0 Switzerland Diversified \n",
|
|||
|
|
"1 Switzerland Equity \n",
|
|||
|
|
"2 Switzerland Equity \n",
|
|||
|
|
"3 Switzerland Equity \n",
|
|||
|
|
"4 Switzerland Fixed Income \n",
|
|||
|
|
"... ... ... \n",
|
|||
|
|
"1088393 France Diversified \n",
|
|||
|
|
"1088394 France Diversified \n",
|
|||
|
|
"1088395 France Private Assets \n",
|
|||
|
|
"1088396 France Equity \n",
|
|||
|
|
"1088397 France Equity \n",
|
|||
|
|
"\n",
|
|||
|
|
" Product - Strategy Product - Legal Status Product - Is Dedie ? \\\n",
|
|||
|
|
"0 Patrimoine FCP NO \n",
|
|||
|
|
"1 Investissement Latitude FCP NO \n",
|
|||
|
|
"2 Investissement FCP NO \n",
|
|||
|
|
"3 Euro-Entrepreneurs FCP NO \n",
|
|||
|
|
"4 Sécurité FCP NO \n",
|
|||
|
|
"... ... ... ... \n",
|
|||
|
|
"1088393 Inflation Solution SICAV NO \n",
|
|||
|
|
"1088394 Inflation Solution SICAV NO \n",
|
|||
|
|
"1088395 Evergreen SICAV NO \n",
|
|||
|
|
"1088396 Tech Solutions SICAV NO \n",
|
|||
|
|
"1088397 Tech Solutions SICAV NO \n",
|
|||
|
|
"\n",
|
|||
|
|
" Product - Fund \\\n",
|
|||
|
|
"0 Carmignac Patrimoine \n",
|
|||
|
|
"1 Carmignac Investissement Latitude \n",
|
|||
|
|
"2 Carmignac Investissement \n",
|
|||
|
|
"3 Carmignac Euro-Entrepreneurs \n",
|
|||
|
|
"4 Carmignac Sécurité \n",
|
|||
|
|
"... ... \n",
|
|||
|
|
"1088393 Carmignac Portfolio Inflation Solution \n",
|
|||
|
|
"1088394 Carmignac Portfolio Inflation Solution \n",
|
|||
|
|
"1088395 Carmignac S.A. SICAV - PART II UCI Private Eve... \n",
|
|||
|
|
"1088396 Carmignac Portfolio Tech Solutions \n",
|
|||
|
|
"1088397 Carmignac Portfolio Tech Solutions \n",
|
|||
|
|
"\n",
|
|||
|
|
" Product - Shareclass Type Product - Shareclass Currency \\\n",
|
|||
|
|
"0 A EUR \n",
|
|||
|
|
"1 A EUR \n",
|
|||
|
|
"2 A EUR \n",
|
|||
|
|
"3 A EUR \n",
|
|||
|
|
"4 AW & AW-R EUR \n",
|
|||
|
|
"... ... ... \n",
|
|||
|
|
"1088393 F EUR \n",
|
|||
|
|
"1088394 A EUR \n",
|
|||
|
|
"1088395 A EUR \n",
|
|||
|
|
"1088396 A EUR \n",
|
|||
|
|
"1088397 F EUR \n",
|
|||
|
|
"\n",
|
|||
|
|
" Product - Isin Centralisation Date Quantity - AUM Value - AUM CCY \\\n",
|
|||
|
|
"0 FR0010135103 2015-01-31 49094.915 3.242523e+07 \n",
|
|||
|
|
"1 FR0010147603 2015-01-31 1717.000 4.767422e+05 \n",
|
|||
|
|
"2 FR0010148981 2015-01-31 8254.870 9.862671e+06 \n",
|
|||
|
|
"3 FR0010149112 2015-01-31 278.923 7.664525e+04 \n",
|
|||
|
|
"4 FR0010149120 2015-01-31 1807.267 3.078318e+06 \n",
|
|||
|
|
"... ... ... ... ... \n",
|
|||
|
|
"1088393 LU2715954330 2025-10-31 81065.419 9.533293e+06 \n",
|
|||
|
|
"1088394 LU2715954504 2025-10-31 6853.363 7.978685e+05 \n",
|
|||
|
|
"1088395 LU2799473124 2025-10-31 4212.234 5.263608e+05 \n",
|
|||
|
|
"1088396 LU2809794220 2025-10-31 31469.523 4.438147e+06 \n",
|
|||
|
|
"1088397 LU2809794576 2025-10-31 554.301 7.871629e+04 \n",
|
|||
|
|
"\n",
|
|||
|
|
" Value - AUM € \n",
|
|||
|
|
"0 3.242523e+07 \n",
|
|||
|
|
"1 4.767422e+05 \n",
|
|||
|
|
"2 9.862671e+06 \n",
|
|||
|
|
"3 7.664525e+04 \n",
|
|||
|
|
"4 3.078318e+06 \n",
|
|||
|
|
"... ... \n",
|
|||
|
|
"1088393 9.533293e+06 \n",
|
|||
|
|
"1088394 7.978685e+05 \n",
|
|||
|
|
"1088395 5.263608e+05 \n",
|
|||
|
|
"1088396 4.438147e+06 \n",
|
|||
|
|
"1088397 7.871629e+04 \n",
|
|||
|
|
"\n",
|
|||
|
|
"[1088398 rows x 19 columns]"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 4,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"df_aum = pd.read_csv(\"s3://projet-bdc-carmignac-g3/paco/AUM_paths.csv\")\n",
|
|||
|
|
"df_aum"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 5,
|
|||
|
|
"id": "3eea8321-6d49-46e1-a678-3b972c8ccd09",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"df_aum = df_aum.rename(columns={\"reg_orig\": \"Registrar Account - ID\"})"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 6,
|
|||
|
|
"id": "027cf8e1-3e4c-416c-bc9e-cd299cdbd7c3",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/plain": [
|
|||
|
|
"Index(['Registrar Account - ID', 'reg_used', 'Agreement - Code',\n",
|
|||
|
|
" 'Company - Id', 'Company - Ultimate Parent Id',\n",
|
|||
|
|
" 'Registrar Account - Region', 'RegistrarAccount - Country',\n",
|
|||
|
|
" 'Product - Asset Type', 'Product - Strategy', 'Product - Legal Status',\n",
|
|||
|
|
" 'Product - Is Dedie ?', 'Product - Fund', 'Product - Shareclass Type',\n",
|
|||
|
|
" 'Product - Shareclass Currency', 'Product - Isin',\n",
|
|||
|
|
" 'Centralisation Date', 'Quantity - AUM', 'Value - AUM CCY',\n",
|
|||
|
|
" 'Value - AUM €'],\n",
|
|||
|
|
" dtype='object')"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 6,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"df_aum.columns"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 7,
|
|||
|
|
"id": "011958df",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"flows: (2514419, 25)\n",
|
|||
|
|
"aum: (1076643, 20)\n",
|
|||
|
|
"nav: (623914, 6)\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"PATH_FLOWS = \"s3://projet-bdc-data/carmignac/Flows ENSAE V2 -20251105.csv\"\n",
|
|||
|
|
"PATH_NAV = \"s3://projet-bdc-data/carmignac/Data Modélisation/Nav/NAV_Bench_data.csv\"\n",
|
|||
|
|
"PATH_RATES = \"s3://projet-bdc-data/carmignac/Data Modélisation/market data/esterRates.csv\"\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_flows = pd.read_csv(PATH_FLOWS, sep=\";\")\n",
|
|||
|
|
"df_nav = pd.read_csv(PATH_NAV, sep=\";\")\n",
|
|||
|
|
"df_rates = pd.read_csv(PATH_RATES, sep=\";\")\n",
|
|||
|
|
"\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Date parsing\n",
|
|||
|
|
"for df, col in [\n",
|
|||
|
|
" (df_flows, FLOW_DATE_COL), (df_aum, AUM_DATE_COL),\n",
|
|||
|
|
" (df_nav, NAV_DATE_COL), (df_rates, RATE_DATE_COL)\n",
|
|||
|
|
"]:\n",
|
|||
|
|
" df[col] = pd.to_datetime(df[col], errors=\"coerce\")\n",
|
|||
|
|
" df[\"month\"] = df[col].dt.to_period(\"M\").dt.to_timestamp()\n",
|
|||
|
|
"\n",
|
|||
|
|
"for col in [FLOW_QTY_COL, FLOW_SUB_COL, FLOW_RED_COL]:\n",
|
|||
|
|
" df_flows[col] = pd.to_numeric(df_flows[col], errors=\"coerce\")\n",
|
|||
|
|
"for col in [AUM_QTY_COL, AUM_VAL_COL]:\n",
|
|||
|
|
" df_aum[col] = pd.to_numeric(df_aum[col], errors=\"coerce\")\n",
|
|||
|
|
"for col in [NAV_PRICE_COL, NAV_BENCH_COL]:\n",
|
|||
|
|
" df_nav[col] = pd.to_numeric(df_nav[col], errors=\"coerce\")\n",
|
|||
|
|
"df_rates[RATE_VAL_COL] = pd.to_numeric(df_rates[RATE_VAL_COL], errors=\"coerce\")\n",
|
|||
|
|
"\n",
|
|||
|
|
"for df in [df_flows, df_aum]:\n",
|
|||
|
|
" df[ISIN_COL] = df[ISIN_COL].astype(str).str.strip()\n",
|
|||
|
|
"df_nav[NAV_ISIN_COL] = df_nav[NAV_ISIN_COL].astype(str).str.strip()\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Remove technical accounts (not investable)\n",
|
|||
|
|
"df_flows = df_flows[~df_flows[ID_COL].isin(\n",
|
|||
|
|
" [\"Off Distribution\", \"Private Clients\", \"Private Client\"]\n",
|
|||
|
|
")]\n",
|
|||
|
|
"df_aum = df_aum[~df_aum[ID_COL].isin(\n",
|
|||
|
|
" [\"Off Distribution\", \"Private Clients\", \"Private Client\"]\n",
|
|||
|
|
")]\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"flows:\", df_flows.shape)\n",
|
|||
|
|
"print(\"aum: \", df_aum.shape)\n",
|
|||
|
|
"print(\"nav: \", df_nav.shape)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 8,
|
|||
|
|
"id": "cadf5a78-53f3-4157-878f-edc615ef1964",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/plain": [
|
|||
|
|
"Index(['Agreement - Code', 'Company - Id', 'Company - Ultimate Parent Id',\n",
|
|||
|
|
" 'Registrar Account - ID', 'Registrar Account - Region',\n",
|
|||
|
|
" 'RegistrarAccount - Country', 'Product - Asset Type',\n",
|
|||
|
|
" 'Product - Strategy', 'Product - Legal Status', 'Product - Is Dedie ?',\n",
|
|||
|
|
" 'Product - Fund', 'Product - Shareclass Type',\n",
|
|||
|
|
" 'Product - Shareclass Currency', 'Product - Isin',\n",
|
|||
|
|
" 'Centralisation Date', 'Quantity - Subscription',\n",
|
|||
|
|
" 'Quantity - Redemption', 'Quantity - NetFlows',\n",
|
|||
|
|
" 'Value Ccy - Subscription', 'Value Ccy - Redemption',\n",
|
|||
|
|
" 'Value Ccy - NetFlows', 'Value € - Subscription',\n",
|
|||
|
|
" 'Value € - Redemption', 'Value € - NetFlows', 'month'],\n",
|
|||
|
|
" dtype='object')"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 8,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"df_flows.columns"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "acd89acb-a9c1-4488-a47e-db4ca76b9214",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"## Etude fund et fund families sur aum et sur flows"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "b568bbc3-55ad-4dcb-bdb0-94e9a154575d",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 3. Part 0 — Define Family Funds et Faire clustering sur les top 15 funds\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 9,
|
|||
|
|
"id": "70c8591f-29aa-4d2f-94bb-d3a280cbe5bb",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Nombre de couples ISIN/Fund : 348\n",
|
|||
|
|
"Nombre de funds uniques : 62\n",
|
|||
|
|
"Nombre de families uniques : 58\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Product - Isin</th>\n",
|
|||
|
|
" <th>Product - Fund</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>FR0000999999</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>FR0010135103</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>FR0010147603</td>\n",
|
|||
|
|
" <td>Carmignac Investissement Latitude</td>\n",
|
|||
|
|
" <td>Carmignac Investissement Latitude</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>FR0010148981</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>FR0010148999</td>\n",
|
|||
|
|
" <td>Carmignac Profil Réactif 75</td>\n",
|
|||
|
|
" <td>Carmignac Profil Réactif <NUM></td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>FR0010149096</td>\n",
|
|||
|
|
" <td>Carmignac Innovation</td>\n",
|
|||
|
|
" <td>Carmignac Innovation</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>FR0010149112</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Entrepreneurs</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Entrepreneurs</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>FR0010149120</td>\n",
|
|||
|
|
" <td>Carmignac Sécurité</td>\n",
|
|||
|
|
" <td>Carmignac Sécurité</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>FR0010149161</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>FR0010149179</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>10</th>\n",
|
|||
|
|
" <td>FR0010149203</td>\n",
|
|||
|
|
" <td>Carmignac Multi Expertise</td>\n",
|
|||
|
|
" <td>Carmignac Multi Expertise</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>11</th>\n",
|
|||
|
|
" <td>FR0010149211</td>\n",
|
|||
|
|
" <td>Carmignac Profil Réactif 100</td>\n",
|
|||
|
|
" <td>Carmignac Profil Réactif <NUM></td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>12</th>\n",
|
|||
|
|
" <td>FR0010149278</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Investissement</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Investissement</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>13</th>\n",
|
|||
|
|
" <td>FR0010149302</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>14</th>\n",
|
|||
|
|
" <td>FR0010306142</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>15</th>\n",
|
|||
|
|
" <td>FR0010312660</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>16</th>\n",
|
|||
|
|
" <td>FR0010956607</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>17</th>\n",
|
|||
|
|
" <td>FR0010956615</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>18</th>\n",
|
|||
|
|
" <td>FR0010956649</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>19</th>\n",
|
|||
|
|
" <td>FR0011147446</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Product - Isin Product - Fund \\\n",
|
|||
|
|
"0 FR0000999999 Carmignac Court Terme \n",
|
|||
|
|
"1 FR0010135103 Carmignac Patrimoine \n",
|
|||
|
|
"2 FR0010147603 Carmignac Investissement Latitude \n",
|
|||
|
|
"3 FR0010148981 Carmignac Investissement \n",
|
|||
|
|
"4 FR0010148999 Carmignac Profil Réactif 75 \n",
|
|||
|
|
"5 FR0010149096 Carmignac Innovation \n",
|
|||
|
|
"6 FR0010149112 Carmignac Euro-Entrepreneurs \n",
|
|||
|
|
"7 FR0010149120 Carmignac Sécurité \n",
|
|||
|
|
"8 FR0010149161 Carmignac Court Terme \n",
|
|||
|
|
"9 FR0010149179 Carmignac Absolute Return Europe \n",
|
|||
|
|
"10 FR0010149203 Carmignac Multi Expertise \n",
|
|||
|
|
"11 FR0010149211 Carmignac Profil Réactif 100 \n",
|
|||
|
|
"12 FR0010149278 Carmignac Euro-Investissement \n",
|
|||
|
|
"13 FR0010149302 Carmignac Emergents \n",
|
|||
|
|
"14 FR0010306142 Carmignac Patrimoine \n",
|
|||
|
|
"15 FR0010312660 Carmignac Investissement \n",
|
|||
|
|
"16 FR0010956607 Carmignac Emergents \n",
|
|||
|
|
"17 FR0010956615 Carmignac Investissement \n",
|
|||
|
|
"18 FR0010956649 Carmignac Patrimoine \n",
|
|||
|
|
"19 FR0011147446 Carmignac Emergents \n",
|
|||
|
|
"\n",
|
|||
|
|
" fund_family \n",
|
|||
|
|
"0 Carmignac Court Terme \n",
|
|||
|
|
"1 Carmignac Patrimoine \n",
|
|||
|
|
"2 Carmignac Investissement Latitude \n",
|
|||
|
|
"3 Carmignac Investissement \n",
|
|||
|
|
"4 Carmignac Profil Réactif <NUM> \n",
|
|||
|
|
"5 Carmignac Innovation \n",
|
|||
|
|
"6 Carmignac Euro-Entrepreneurs \n",
|
|||
|
|
"7 Carmignac Sécurité \n",
|
|||
|
|
"8 Carmignac Court Terme \n",
|
|||
|
|
"9 Carmignac Absolute Return Europe \n",
|
|||
|
|
"10 Carmignac Multi Expertise \n",
|
|||
|
|
"11 Carmignac Profil Réactif <NUM> \n",
|
|||
|
|
"12 Carmignac Euro-Investissement \n",
|
|||
|
|
"13 Carmignac Emergents \n",
|
|||
|
|
"14 Carmignac Patrimoine \n",
|
|||
|
|
"15 Carmignac Investissement \n",
|
|||
|
|
"16 Carmignac Emergents \n",
|
|||
|
|
"17 Carmignac Investissement \n",
|
|||
|
|
"18 Carmignac Patrimoine \n",
|
|||
|
|
"19 Carmignac Emergents "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 9,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"import re\n",
|
|||
|
|
"import numpy as np\n",
|
|||
|
|
"import pandas as pd\n",
|
|||
|
|
"\n",
|
|||
|
|
"# =========================================================\n",
|
|||
|
|
"# 1) Fonction conservative de construction de famille\n",
|
|||
|
|
"# - même nom => même famille\n",
|
|||
|
|
"# - différence purement numérique => même famille\n",
|
|||
|
|
"# - sinon famille différente\n",
|
|||
|
|
"# =========================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"def build_fund_family_numeric_only(fund_name):\n",
|
|||
|
|
" if pd.isna(fund_name):\n",
|
|||
|
|
" return np.nan\n",
|
|||
|
|
" \n",
|
|||
|
|
" s = str(fund_name).strip()\n",
|
|||
|
|
" family = re.sub(r\"\\d+\", \"<NUM>\", s)\n",
|
|||
|
|
" family = re.sub(r\"\\s+\", \" \", family).strip()\n",
|
|||
|
|
" return family\n",
|
|||
|
|
"\n",
|
|||
|
|
"fund_family_table = (\n",
|
|||
|
|
" df_aum[[ISIN_COL, FUND_COL]]\n",
|
|||
|
|
" .dropna(subset=[ISIN_COL, FUND_COL])\n",
|
|||
|
|
" .drop_duplicates()\n",
|
|||
|
|
" .sort_values([ISIN_COL, FUND_COL])\n",
|
|||
|
|
" .reset_index(drop=True)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"fund_family_table[\"fund_family\"] = fund_family_table[FUND_COL].apply(build_fund_family_numeric_only)\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Nombre de couples ISIN/Fund :\", fund_family_table.shape[0])\n",
|
|||
|
|
"print(\"Nombre de funds uniques :\", fund_family_table[FUND_COL].nunique())\n",
|
|||
|
|
"print(\"Nombre de families uniques :\", fund_family_table[\"fund_family\"].nunique())\n",
|
|||
|
|
"\n",
|
|||
|
|
"fund_family_table.head(20)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "d34f5ecf",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 3. Monthly Panel Construction\n",
|
|||
|
|
"\n",
|
|||
|
|
"A full outer join of AUM and flows at `(account, ISIN, month)` granularity, enriched with NAV returns and interest rate changes.\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 10,
|
|||
|
|
"id": "25f3dce4",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"df_rel_m shape: (1365583, 20)\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"df_flows_m = (\n",
|
|||
|
|
" df_flows\n",
|
|||
|
|
" .dropna(subset=[ID_COL, ISIN_COL, \"month\"])\n",
|
|||
|
|
" .assign(\n",
|
|||
|
|
" gross_flow_qty=lambda x: x[FLOW_QTY_COL].abs(),\n",
|
|||
|
|
" sub_qty=lambda x: x[FLOW_SUB_COL].fillna(0),\n",
|
|||
|
|
" red_qty=lambda x: x[FLOW_RED_COL].fillna(0)\n",
|
|||
|
|
" )\n",
|
|||
|
|
" .groupby([ID_COL, ISIN_COL, \"month\"], as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" net_flow_qty=(FLOW_QTY_COL, \"sum\"),\n",
|
|||
|
|
" gross_flow_qty=(\"gross_flow_qty\", \"sum\"),\n",
|
|||
|
|
" sub_qty=(\"sub_qty\", \"sum\"),\n",
|
|||
|
|
" red_qty=(\"red_qty\", \"sum\"),\n",
|
|||
|
|
" n_tx=(FLOW_QTY_COL, \"size\"),\n",
|
|||
|
|
" region=(REGION_COL, \"last\"),\n",
|
|||
|
|
" country=(COUNTRY_COL, \"last\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_aum_m = (\n",
|
|||
|
|
" df_aum\n",
|
|||
|
|
" .dropna(subset=[ID_COL, ISIN_COL, FUND_COL, \"month\"])\n",
|
|||
|
|
" .groupby([ID_COL, ISIN_COL, FUND_COL, \"month\"], as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" aum_qty=(AUM_QTY_COL, \"sum\"),\n",
|
|||
|
|
" aum_val=(AUM_VAL_COL, \"sum\"),\n",
|
|||
|
|
" asset_type=(ASSET_COL, \"last\"),\n",
|
|||
|
|
" region=(REGION_COL, \"last\"),\n",
|
|||
|
|
" country=(COUNTRY_COL, \"last\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"keys = pd.concat([\n",
|
|||
|
|
" df_flows_m[[ID_COL, ISIN_COL, \"month\"]],\n",
|
|||
|
|
" df_aum_m[[ID_COL, ISIN_COL, \"month\"]]\n",
|
|||
|
|
"]).drop_duplicates()\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m = (\n",
|
|||
|
|
" keys\n",
|
|||
|
|
" .merge(df_aum_m, on=[ID_COL, ISIN_COL, \"month\"], how=\"left\")\n",
|
|||
|
|
" .merge(df_flows_m, on=[ID_COL, ISIN_COL, \"month\"], how=\"left\", suffixes=(\"\", \"_flow\"))\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"for c in [\"aum_qty\", \"aum_val\", \"net_flow_qty\", \"gross_flow_qty\", \"sub_qty\", \"red_qty\", \"n_tx\"]:\n",
|
|||
|
|
" df_rel_m[c] = df_rel_m[c].fillna(0)\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m[\"region\"] = df_rel_m[\"region\"].fillna(df_rel_m.get(\"region_flow\"))\n",
|
|||
|
|
"df_rel_m[\"country\"] = df_rel_m[\"country\"].fillna(df_rel_m.get(\"country_flow\"))\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m[\"active_rel_month\"] = (df_rel_m[\"gross_flow_qty\"] > 0).astype(int)\n",
|
|||
|
|
"df_rel_m[\"holding_rel_month\"] = (df_rel_m[\"aum_qty\"] > 0).astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m[\"flow_to_aum_rel\"] = np.where(\n",
|
|||
|
|
" df_rel_m[\"aum_qty\"].abs() > 0,\n",
|
|||
|
|
" df_rel_m[\"net_flow_qty\"] / df_rel_m[\"aum_qty\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m[\"turnover_rel\"] = np.where(\n",
|
|||
|
|
" df_rel_m[\"aum_qty\"].abs() > 0,\n",
|
|||
|
|
" df_rel_m[\"gross_flow_qty\"] / df_rel_m[\"aum_qty\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"df_rel_m shape:\", df_rel_m.shape)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 11,
|
|||
|
|
"id": "0e95eaaa-3c49-44b9-b049-fee5ecba66ef",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Panel with NAV/rates: (1365583, 22)\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"df_nav_m = (\n",
|
|||
|
|
" df_nav\n",
|
|||
|
|
" .dropna(subset=[NAV_ISIN_COL, \"month\", NAV_PRICE_COL])\n",
|
|||
|
|
" .sort_values([NAV_ISIN_COL, \"month\"])\n",
|
|||
|
|
" .groupby([NAV_ISIN_COL, \"month\"], as_index=False)\n",
|
|||
|
|
" .tail(1)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_nav_m[\"ret_fund_m\"] = df_nav_m.groupby(NAV_ISIN_COL)[NAV_PRICE_COL].pct_change()\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_nav_m = df_nav_m.rename(columns={NAV_ISIN_COL: ISIN_COL})[\n",
|
|||
|
|
" [ISIN_COL, \"month\", \"ret_fund_m\"]\n",
|
|||
|
|
"]\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rates_m = (\n",
|
|||
|
|
" df_rates\n",
|
|||
|
|
" .dropna(subset=[\"month\", RATE_VAL_COL])\n",
|
|||
|
|
" .sort_values(RATE_DATE_COL)\n",
|
|||
|
|
" .groupby(\"month\", as_index=False)\n",
|
|||
|
|
" .tail(1)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rates_m[\"delta_rate_m\"] = df_rates_m[RATE_VAL_COL].diff()\n",
|
|||
|
|
"df_rates_m = df_rates_m[[\"month\", \"delta_rate_m\"]]\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m = df_rel_m.merge(df_nav_m, on=[ISIN_COL, \"month\"], how=\"left\")\n",
|
|||
|
|
"df_rel_m = df_rel_m.merge(df_rates_m, on=\"month\", how=\"left\")\n",
|
|||
|
|
"\n",
|
|||
|
|
"for c in [\"ret_fund_m\", \"delta_rate_m\"]:\n",
|
|||
|
|
" df_rel_m[c] = df_rel_m[c].fillna(0)\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Panel with NAV/rates:\", df_rel_m.shape)\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 12,
|
|||
|
|
"id": "f4c2a3fd-2595-445b-95f5-bd544355e23d",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Missing fund_family: 416901\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Product - Isin</th>\n",
|
|||
|
|
" <th>Product - Fund</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>LU0099161993</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>LU0164455502</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>12</th>\n",
|
|||
|
|
" <td>LU0336083497</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>15</th>\n",
|
|||
|
|
" <td>LU0336083810</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>19</th>\n",
|
|||
|
|
" <td>LU0553415323</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>21</th>\n",
|
|||
|
|
" <td>LU0592698954</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>29</th>\n",
|
|||
|
|
" <td>LU0592699093</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>30</th>\n",
|
|||
|
|
" <td>LU0592699259</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>37</th>\n",
|
|||
|
|
" <td>LU0705572823</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>40</th>\n",
|
|||
|
|
" <td>LU0807689582</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>41</th>\n",
|
|||
|
|
" <td>LU0807690838</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>42</th>\n",
|
|||
|
|
" <td>LU0992624949</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>53</th>\n",
|
|||
|
|
" <td>LU0992625086</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>57</th>\n",
|
|||
|
|
" <td>LU0992626993</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>60</th>\n",
|
|||
|
|
" <td>LU0992627611</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>67</th>\n",
|
|||
|
|
" <td>LU0992629153</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>69</th>\n",
|
|||
|
|
" <td>LU0992629401</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>71</th>\n",
|
|||
|
|
" <td>LU0992631563</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>73</th>\n",
|
|||
|
|
" <td>LU1163533422</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>79</th>\n",
|
|||
|
|
" <td>LU1299306321</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Product - Isin Product - Fund fund_family\n",
|
|||
|
|
"0 LU0099161993 NaN NaN\n",
|
|||
|
|
"3 LU0164455502 NaN NaN\n",
|
|||
|
|
"12 LU0336083497 NaN NaN\n",
|
|||
|
|
"15 LU0336083810 NaN NaN\n",
|
|||
|
|
"19 LU0553415323 NaN NaN\n",
|
|||
|
|
"21 LU0592698954 NaN NaN\n",
|
|||
|
|
"29 LU0592699093 NaN NaN\n",
|
|||
|
|
"30 LU0592699259 NaN NaN\n",
|
|||
|
|
"37 LU0705572823 NaN NaN\n",
|
|||
|
|
"40 LU0807689582 NaN NaN\n",
|
|||
|
|
"41 LU0807690838 NaN NaN\n",
|
|||
|
|
"42 LU0992624949 NaN NaN\n",
|
|||
|
|
"53 LU0992625086 NaN NaN\n",
|
|||
|
|
"57 LU0992626993 NaN NaN\n",
|
|||
|
|
"60 LU0992627611 NaN NaN\n",
|
|||
|
|
"67 LU0992629153 NaN NaN\n",
|
|||
|
|
"69 LU0992629401 NaN NaN\n",
|
|||
|
|
"71 LU0992631563 NaN NaN\n",
|
|||
|
|
"73 LU1163533422 NaN NaN\n",
|
|||
|
|
"79 LU1299306321 NaN NaN"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 12,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"#merge famille\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_rel_m = df_rel_m.merge(\n",
|
|||
|
|
" fund_family_table[[ISIN_COL, FUND_COL, \"fund_family\"]],\n",
|
|||
|
|
" on=[ISIN_COL, FUND_COL],\n",
|
|||
|
|
" how=\"left\"\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Missing fund_family:\", df_rel_m[\"fund_family\"].isna().sum())\n",
|
|||
|
|
"df_rel_m[[ISIN_COL, FUND_COL, \"fund_family\"]].drop_duplicates().head(20)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 13,
|
|||
|
|
"id": "f4fb4a9f-b354-42d0-8699-bf6fc1e26bb9",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"df_family_month shape: (539285, 23)\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Registrar Account - ID</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>month</th>\n",
|
|||
|
|
" <th>aum_qty</th>\n",
|
|||
|
|
" <th>aum_val</th>\n",
|
|||
|
|
" <th>net_flow_qty</th>\n",
|
|||
|
|
" <th>gross_flow_qty</th>\n",
|
|||
|
|
" <th>sub_qty</th>\n",
|
|||
|
|
" <th>red_qty</th>\n",
|
|||
|
|
" <th>n_tx</th>\n",
|
|||
|
|
" <th>n_isin_held</th>\n",
|
|||
|
|
" <th>n_isin_active</th>\n",
|
|||
|
|
" <th>ret_fund_m</th>\n",
|
|||
|
|
" <th>delta_rate_m</th>\n",
|
|||
|
|
" <th>region</th>\n",
|
|||
|
|
" <th>country</th>\n",
|
|||
|
|
" <th>active_month</th>\n",
|
|||
|
|
" <th>flow_to_aum_m</th>\n",
|
|||
|
|
" <th>turnover_m</th>\n",
|
|||
|
|
" <th>sub_share_m</th>\n",
|
|||
|
|
" <th>red_share_m</th>\n",
|
|||
|
|
" <th>aum_peak_to_date</th>\n",
|
|||
|
|
" <th>aum_drawdown</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-01-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30624.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>-0.058</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-02-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>31886.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.026230</td>\n",
|
|||
|
|
" <td>-0.022</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-03-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32026.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.024272</td>\n",
|
|||
|
|
" <td>-0.014</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-04-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32843.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.077</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-05-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>33545.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.053</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-06-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32390.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.020</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-07-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32163.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.003115</td>\n",
|
|||
|
|
" <td>-0.042</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-08-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30573.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.004630</td>\n",
|
|||
|
|
" <td>-0.008</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-09-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>29065.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.012</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-10-01</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>127980.1646</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.083823</td>\n",
|
|||
|
|
" <td>-0.007</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Registrar Account - ID fund_family month \\\n",
|
|||
|
|
"0 18872 Carmignac Absolute Return Europe 2015-01-01 \n",
|
|||
|
|
"1 18872 Carmignac Absolute Return Europe 2015-02-01 \n",
|
|||
|
|
"2 18872 Carmignac Absolute Return Europe 2015-03-01 \n",
|
|||
|
|
"3 18872 Carmignac Absolute Return Europe 2015-04-01 \n",
|
|||
|
|
"4 18872 Carmignac Absolute Return Europe 2015-05-01 \n",
|
|||
|
|
"5 18872 Carmignac Absolute Return Europe 2015-06-01 \n",
|
|||
|
|
"6 18872 Carmignac Absolute Return Europe 2015-07-01 \n",
|
|||
|
|
"7 18872 Carmignac Absolute Return Europe 2015-08-01 \n",
|
|||
|
|
"8 18872 Carmignac Absolute Return Europe 2015-09-01 \n",
|
|||
|
|
"9 18872 Carmignac Absolute Return Europe 2015-10-01 \n",
|
|||
|
|
"\n",
|
|||
|
|
" aum_qty aum_val net_flow_qty gross_flow_qty sub_qty red_qty n_tx \\\n",
|
|||
|
|
"0 100.000 30624.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"1 100.000 31886.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"2 100.000 32026.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"3 100.000 32843.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"4 100.000 33545.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"5 100.000 32390.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"6 100.000 32163.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"7 100.000 30573.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"8 100.000 29065.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"9 443.206 127980.1646 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" n_isin_held n_isin_active ret_fund_m delta_rate_m region \\\n",
|
|||
|
|
"0 1 0 0.004902 -0.058 Switzerland \n",
|
|||
|
|
"1 1 0 0.026230 -0.022 Switzerland \n",
|
|||
|
|
"2 1 0 0.024272 -0.014 Switzerland \n",
|
|||
|
|
"3 1 0 0.000000 -0.077 Switzerland \n",
|
|||
|
|
"4 1 0 0.000000 -0.053 Switzerland \n",
|
|||
|
|
"5 1 0 0.000000 0.020 Switzerland \n",
|
|||
|
|
"6 1 0 0.003115 -0.042 Switzerland \n",
|
|||
|
|
"7 1 0 -0.004630 -0.008 Switzerland \n",
|
|||
|
|
"8 1 0 0.000000 -0.012 Switzerland \n",
|
|||
|
|
"9 1 0 -0.083823 -0.007 Switzerland \n",
|
|||
|
|
"\n",
|
|||
|
|
" country active_month flow_to_aum_m turnover_m sub_share_m \\\n",
|
|||
|
|
"0 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"1 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"2 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"3 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"4 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"5 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"6 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"7 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"8 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"9 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"\n",
|
|||
|
|
" red_share_m aum_peak_to_date aum_drawdown \n",
|
|||
|
|
"0 NaN 100.000 0.0 \n",
|
|||
|
|
"1 NaN 100.000 0.0 \n",
|
|||
|
|
"2 NaN 100.000 0.0 \n",
|
|||
|
|
"3 NaN 100.000 0.0 \n",
|
|||
|
|
"4 NaN 100.000 0.0 \n",
|
|||
|
|
"5 NaN 100.000 0.0 \n",
|
|||
|
|
"6 NaN 100.000 0.0 \n",
|
|||
|
|
"7 NaN 100.000 0.0 \n",
|
|||
|
|
"8 NaN 100.000 0.0 \n",
|
|||
|
|
"9 NaN 443.206 0.0 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 13,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"#construction du panel mensuel compte × famille × mois \n",
|
|||
|
|
"tmp = df_rel_m.copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"isin_held_flag\"] = (tmp[\"aum_qty\"] > 0).astype(int)\n",
|
|||
|
|
"tmp[\"isin_active_flag\"] = (tmp[\"gross_flow_qty\"] > 0).astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month = (\n",
|
|||
|
|
" tmp\n",
|
|||
|
|
" .dropna(subset=[ID_COL, \"fund_family\", \"month\"])\n",
|
|||
|
|
" .groupby([ID_COL, \"fund_family\", \"month\"], as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" aum_qty=(\"aum_qty\", \"sum\"),\n",
|
|||
|
|
" aum_val=(\"aum_val\", \"sum\"),\n",
|
|||
|
|
" net_flow_qty=(\"net_flow_qty\", \"sum\"),\n",
|
|||
|
|
" gross_flow_qty=(\"gross_flow_qty\", \"sum\"),\n",
|
|||
|
|
" sub_qty=(\"sub_qty\", \"sum\"),\n",
|
|||
|
|
" red_qty=(\"red_qty\", \"sum\"),\n",
|
|||
|
|
" n_tx=(\"n_tx\", \"sum\"),\n",
|
|||
|
|
" n_isin_held=(\"isin_held_flag\", \"sum\"),\n",
|
|||
|
|
" n_isin_active=(\"isin_active_flag\", \"sum\"),\n",
|
|||
|
|
" ret_fund_m=(\"ret_fund_m\", \"mean\"),\n",
|
|||
|
|
" delta_rate_m=(\"delta_rate_m\", \"first\"),\n",
|
|||
|
|
" region=(\"region\", \"first\"),\n",
|
|||
|
|
" country=(\"country\", \"first\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
" .sort_values([ID_COL, \"fund_family\", \"month\"])\n",
|
|||
|
|
" .reset_index(drop=True)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"active_month\"] = (df_family_month[\"gross_flow_qty\"] > 0).astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"flow_to_aum_m\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"aum_qty\"].abs() > 0,\n",
|
|||
|
|
" df_family_month[\"net_flow_qty\"] / df_family_month[\"aum_qty\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"turnover_m\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"aum_qty\"].abs() > 0,\n",
|
|||
|
|
" df_family_month[\"gross_flow_qty\"] / df_family_month[\"aum_qty\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"sub_share_m\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"gross_flow_qty\"] > 0,\n",
|
|||
|
|
" df_family_month[\"sub_qty\"] / df_family_month[\"gross_flow_qty\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"red_share_m\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"gross_flow_qty\"] > 0,\n",
|
|||
|
|
" df_family_month[\"red_qty\"] / df_family_month[\"gross_flow_qty\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"aum_peak_to_date\"] = df_family_month.groupby([ID_COL, \"fund_family\"])[\"aum_qty\"].cummax()\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"aum_drawdown\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"aum_peak_to_date\"] > 0,\n",
|
|||
|
|
" 1 - df_family_month[\"aum_qty\"] / df_family_month[\"aum_peak_to_date\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"df_family_month shape:\", df_family_month.shape)\n",
|
|||
|
|
"df_family_month.head(10)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "9121da21",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 4. Feature Engineering\n",
|
|||
|
|
"\n",
|
|||
|
|
"Features are built at three levels of granularity:\n",
|
|||
|
|
"- **Account × month**: activity flags, turnover, drawdown\n",
|
|||
|
|
"- **Account × ISIN**: entry/exit events, holding duration, performance reactivity\n",
|
|||
|
|
"- **Account (static)**: aggregated behavioral summary used for clustering\n",
|
|||
|
|
"\n",
|
|||
|
|
"Asset type and fund composition shares are computed separately and used as **descriptive** post-clustering variables only.\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 14,
|
|||
|
|
"id": "b7fdb2fe-26ce-4881-903d-01fd6e473ac4",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
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|
"data": {
|
|||
|
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"text/html": [
|
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"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
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|
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|
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|
|
" vertical-align: middle;\n",
|
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" }\n",
|
|||
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|
"\n",
|
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|
|
" .dataframe tbody tr th {\n",
|
|||
|
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" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
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|
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"\n",
|
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|
|
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|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Registrar Account - ID</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>month</th>\n",
|
|||
|
|
" <th>aum_qty</th>\n",
|
|||
|
|
" <th>aum_val</th>\n",
|
|||
|
|
" <th>net_flow_qty</th>\n",
|
|||
|
|
" <th>gross_flow_qty</th>\n",
|
|||
|
|
" <th>sub_qty</th>\n",
|
|||
|
|
" <th>red_qty</th>\n",
|
|||
|
|
" <th>n_tx</th>\n",
|
|||
|
|
" <th>n_isin_held</th>\n",
|
|||
|
|
" <th>n_isin_active</th>\n",
|
|||
|
|
" <th>ret_fund_m</th>\n",
|
|||
|
|
" <th>delta_rate_m</th>\n",
|
|||
|
|
" <th>region</th>\n",
|
|||
|
|
" <th>country</th>\n",
|
|||
|
|
" <th>active_month</th>\n",
|
|||
|
|
" <th>flow_to_aum_m</th>\n",
|
|||
|
|
" <th>turnover_m</th>\n",
|
|||
|
|
" <th>sub_share_m</th>\n",
|
|||
|
|
" <th>red_share_m</th>\n",
|
|||
|
|
" <th>aum_peak_to_date</th>\n",
|
|||
|
|
" <th>aum_drawdown</th>\n",
|
|||
|
|
" <th>total_client_aum_qty</th>\n",
|
|||
|
|
" <th>total_client_aum_val</th>\n",
|
|||
|
|
" <th>family_share_of_client_aum</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-01-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30624.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>-0.058</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>179864.637</td>\n",
|
|||
|
|
" <td>7.043266e+07</td>\n",
|
|||
|
|
" <td>0.000435</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-02-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>31886.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.026230</td>\n",
|
|||
|
|
" <td>-0.022</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>186761.736</td>\n",
|
|||
|
|
" <td>7.317400e+07</td>\n",
|
|||
|
|
" <td>0.000436</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-03-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32026.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.024272</td>\n",
|
|||
|
|
" <td>-0.014</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>190357.718</td>\n",
|
|||
|
|
" <td>7.653007e+07</td>\n",
|
|||
|
|
" <td>0.000418</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-04-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32843.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.077</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>191429.324</td>\n",
|
|||
|
|
" <td>7.509285e+07</td>\n",
|
|||
|
|
" <td>0.000437</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-05-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>33545.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.053</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>189056.475</td>\n",
|
|||
|
|
" <td>7.650176e+07</td>\n",
|
|||
|
|
" <td>0.000438</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-06-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32390.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.020</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>188737.275</td>\n",
|
|||
|
|
" <td>7.291397e+07</td>\n",
|
|||
|
|
" <td>0.000444</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-07-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32163.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.003115</td>\n",
|
|||
|
|
" <td>-0.042</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>204372.466</td>\n",
|
|||
|
|
" <td>7.523034e+07</td>\n",
|
|||
|
|
" <td>0.000428</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-08-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30573.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.004630</td>\n",
|
|||
|
|
" <td>-0.008</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>204294.776</td>\n",
|
|||
|
|
" <td>6.919099e+07</td>\n",
|
|||
|
|
" <td>0.000442</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-09-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>29065.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.012</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>200179.763</td>\n",
|
|||
|
|
" <td>6.492010e+07</td>\n",
|
|||
|
|
" <td>0.000448</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-10-01</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>127980.1646</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.083823</td>\n",
|
|||
|
|
" <td>-0.007</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>193229.149</td>\n",
|
|||
|
|
" <td>6.541687e+07</td>\n",
|
|||
|
|
" <td>0.001956</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Registrar Account - ID fund_family month \\\n",
|
|||
|
|
"0 18872 Carmignac Absolute Return Europe 2015-01-01 \n",
|
|||
|
|
"1 18872 Carmignac Absolute Return Europe 2015-02-01 \n",
|
|||
|
|
"2 18872 Carmignac Absolute Return Europe 2015-03-01 \n",
|
|||
|
|
"3 18872 Carmignac Absolute Return Europe 2015-04-01 \n",
|
|||
|
|
"4 18872 Carmignac Absolute Return Europe 2015-05-01 \n",
|
|||
|
|
"5 18872 Carmignac Absolute Return Europe 2015-06-01 \n",
|
|||
|
|
"6 18872 Carmignac Absolute Return Europe 2015-07-01 \n",
|
|||
|
|
"7 18872 Carmignac Absolute Return Europe 2015-08-01 \n",
|
|||
|
|
"8 18872 Carmignac Absolute Return Europe 2015-09-01 \n",
|
|||
|
|
"9 18872 Carmignac Absolute Return Europe 2015-10-01 \n",
|
|||
|
|
"\n",
|
|||
|
|
" aum_qty aum_val net_flow_qty gross_flow_qty sub_qty red_qty n_tx \\\n",
|
|||
|
|
"0 100.000 30624.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"1 100.000 31886.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"2 100.000 32026.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"3 100.000 32843.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"4 100.000 33545.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"5 100.000 32390.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"6 100.000 32163.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"7 100.000 30573.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"8 100.000 29065.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"9 443.206 127980.1646 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" n_isin_held n_isin_active ret_fund_m delta_rate_m region \\\n",
|
|||
|
|
"0 1 0 0.004902 -0.058 Switzerland \n",
|
|||
|
|
"1 1 0 0.026230 -0.022 Switzerland \n",
|
|||
|
|
"2 1 0 0.024272 -0.014 Switzerland \n",
|
|||
|
|
"3 1 0 0.000000 -0.077 Switzerland \n",
|
|||
|
|
"4 1 0 0.000000 -0.053 Switzerland \n",
|
|||
|
|
"5 1 0 0.000000 0.020 Switzerland \n",
|
|||
|
|
"6 1 0 0.003115 -0.042 Switzerland \n",
|
|||
|
|
"7 1 0 -0.004630 -0.008 Switzerland \n",
|
|||
|
|
"8 1 0 0.000000 -0.012 Switzerland \n",
|
|||
|
|
"9 1 0 -0.083823 -0.007 Switzerland \n",
|
|||
|
|
"\n",
|
|||
|
|
" country active_month flow_to_aum_m turnover_m sub_share_m \\\n",
|
|||
|
|
"0 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"1 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"2 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"3 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"4 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"5 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"6 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"7 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"8 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"9 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"\n",
|
|||
|
|
" red_share_m aum_peak_to_date aum_drawdown total_client_aum_qty \\\n",
|
|||
|
|
"0 NaN 100.000 0.0 179864.637 \n",
|
|||
|
|
"1 NaN 100.000 0.0 186761.736 \n",
|
|||
|
|
"2 NaN 100.000 0.0 190357.718 \n",
|
|||
|
|
"3 NaN 100.000 0.0 191429.324 \n",
|
|||
|
|
"4 NaN 100.000 0.0 189056.475 \n",
|
|||
|
|
"5 NaN 100.000 0.0 188737.275 \n",
|
|||
|
|
"6 NaN 100.000 0.0 204372.466 \n",
|
|||
|
|
"7 NaN 100.000 0.0 204294.776 \n",
|
|||
|
|
"8 NaN 100.000 0.0 200179.763 \n",
|
|||
|
|
"9 NaN 443.206 0.0 193229.149 \n",
|
|||
|
|
"\n",
|
|||
|
|
" total_client_aum_val family_share_of_client_aum \n",
|
|||
|
|
"0 7.043266e+07 0.000435 \n",
|
|||
|
|
"1 7.317400e+07 0.000436 \n",
|
|||
|
|
"2 7.653007e+07 0.000418 \n",
|
|||
|
|
"3 7.509285e+07 0.000437 \n",
|
|||
|
|
"4 7.650176e+07 0.000438 \n",
|
|||
|
|
"5 7.291397e+07 0.000444 \n",
|
|||
|
|
"6 7.523034e+07 0.000428 \n",
|
|||
|
|
"7 6.919099e+07 0.000442 \n",
|
|||
|
|
"8 6.492010e+07 0.000448 \n",
|
|||
|
|
"9 6.541687e+07 0.001956 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 14,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"#part du fmaily fund dans ptf du client\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_client_total_month = (\n",
|
|||
|
|
" df_rel_m\n",
|
|||
|
|
" .groupby([ID_COL, \"month\"], as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" total_client_aum_qty=(\"aum_qty\", \"sum\"),\n",
|
|||
|
|
" total_client_aum_val=(\"aum_val\", \"sum\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month = df_family_month.merge(\n",
|
|||
|
|
" df_client_total_month,\n",
|
|||
|
|
" on=[ID_COL, \"month\"],\n",
|
|||
|
|
" how=\"left\"\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month[\"family_share_of_client_aum\"] = np.where(\n",
|
|||
|
|
" df_family_month[\"total_client_aum_val\"].abs() > 0,\n",
|
|||
|
|
" df_family_month[\"aum_val\"] / df_family_month[\"total_client_aum_val\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_month.head(10)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 15,
|
|||
|
|
"id": "d4a01bcc",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"(539285, 44)\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Registrar Account - ID</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>month</th>\n",
|
|||
|
|
" <th>aum_qty</th>\n",
|
|||
|
|
" <th>aum_val</th>\n",
|
|||
|
|
" <th>net_flow_qty</th>\n",
|
|||
|
|
" <th>gross_flow_qty</th>\n",
|
|||
|
|
" <th>sub_qty</th>\n",
|
|||
|
|
" <th>red_qty</th>\n",
|
|||
|
|
" <th>n_tx</th>\n",
|
|||
|
|
" <th>n_isin_held</th>\n",
|
|||
|
|
" <th>n_isin_active</th>\n",
|
|||
|
|
" <th>ret_fund_m</th>\n",
|
|||
|
|
" <th>delta_rate_m</th>\n",
|
|||
|
|
" <th>region</th>\n",
|
|||
|
|
" <th>country</th>\n",
|
|||
|
|
" <th>active_month</th>\n",
|
|||
|
|
" <th>flow_to_aum_m</th>\n",
|
|||
|
|
" <th>turnover_m</th>\n",
|
|||
|
|
" <th>sub_share_m</th>\n",
|
|||
|
|
" <th>red_share_m</th>\n",
|
|||
|
|
" <th>aum_peak_to_date</th>\n",
|
|||
|
|
" <th>aum_drawdown</th>\n",
|
|||
|
|
" <th>total_client_aum_qty</th>\n",
|
|||
|
|
" <th>total_client_aum_val</th>\n",
|
|||
|
|
" <th>family_share_of_client_aum</th>\n",
|
|||
|
|
" <th>prev_aum</th>\n",
|
|||
|
|
" <th>entry_event</th>\n",
|
|||
|
|
" <th>full_exit_event</th>\n",
|
|||
|
|
" <th>ret_fund_m_lag1</th>\n",
|
|||
|
|
" <th>buy_on_perf</th>\n",
|
|||
|
|
" <th>sell_on_perf</th>\n",
|
|||
|
|
" <th>ret_fund_mean3_lag1</th>\n",
|
|||
|
|
" <th>ret_fund_mean6_lag1</th>\n",
|
|||
|
|
" <th>buy_on_perf_mean3</th>\n",
|
|||
|
|
" <th>sell_on_perf_mean3</th>\n",
|
|||
|
|
" <th>buy_on_perf_mean6</th>\n",
|
|||
|
|
" <th>sell_on_perf_mean6</th>\n",
|
|||
|
|
" <th>turnover_m_mean3</th>\n",
|
|||
|
|
" <th>flow_to_aum_m_mean3</th>\n",
|
|||
|
|
" <th>turnover_m_mean6</th>\n",
|
|||
|
|
" <th>flow_to_aum_m_mean6</th>\n",
|
|||
|
|
" <th>turnover_m_mean12</th>\n",
|
|||
|
|
" <th>flow_to_aum_m_mean12</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-01-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30624.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>-0.058</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>179864.637</td>\n",
|
|||
|
|
" <td>7.043266e+07</td>\n",
|
|||
|
|
" <td>0.000435</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-02-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>31886.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.026230</td>\n",
|
|||
|
|
" <td>-0.022</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>186761.736</td>\n",
|
|||
|
|
" <td>7.317400e+07</td>\n",
|
|||
|
|
" <td>0.000436</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>0.004902</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-03-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32026.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.024272</td>\n",
|
|||
|
|
" <td>-0.014</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>190357.718</td>\n",
|
|||
|
|
" <td>7.653007e+07</td>\n",
|
|||
|
|
" <td>0.000418</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.026230</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.015566</td>\n",
|
|||
|
|
" <td>0.015566</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-04-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32843.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.077</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>191429.324</td>\n",
|
|||
|
|
" <td>7.509285e+07</td>\n",
|
|||
|
|
" <td>0.000437</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.024272</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.018468</td>\n",
|
|||
|
|
" <td>0.018468</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-05-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>33545.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.053</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>189056.475</td>\n",
|
|||
|
|
" <td>7.650176e+07</td>\n",
|
|||
|
|
" <td>0.000438</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.016834</td>\n",
|
|||
|
|
" <td>0.013851</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-06-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32390.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.020</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>188737.275</td>\n",
|
|||
|
|
" <td>7.291397e+07</td>\n",
|
|||
|
|
" <td>0.000444</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.008091</td>\n",
|
|||
|
|
" <td>0.011081</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-07-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>32163.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.003115</td>\n",
|
|||
|
|
" <td>-0.042</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>204372.466</td>\n",
|
|||
|
|
" <td>7.523034e+07</td>\n",
|
|||
|
|
" <td>0.000428</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.009234</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-08-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>30573.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.004630</td>\n",
|
|||
|
|
" <td>-0.008</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>204294.776</td>\n",
|
|||
|
|
" <td>6.919099e+07</td>\n",
|
|||
|
|
" <td>0.000442</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.003115</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.001038</td>\n",
|
|||
|
|
" <td>0.008936</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-09-01</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>29065.0000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.012</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>100.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>200179.763</td>\n",
|
|||
|
|
" <td>6.492010e+07</td>\n",
|
|||
|
|
" <td>0.000448</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.004630</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.000505</td>\n",
|
|||
|
|
" <td>0.003793</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>2015-10-01</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>127980.1646</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.083823</td>\n",
|
|||
|
|
" <td>-0.007</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>443.206</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>193229.149</td>\n",
|
|||
|
|
" <td>6.541687e+07</td>\n",
|
|||
|
|
" <td>0.001956</td>\n",
|
|||
|
|
" <td>100.0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>-0.000505</td>\n",
|
|||
|
|
" <td>-0.000252</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Registrar Account - ID fund_family month \\\n",
|
|||
|
|
"0 18872 Carmignac Absolute Return Europe 2015-01-01 \n",
|
|||
|
|
"1 18872 Carmignac Absolute Return Europe 2015-02-01 \n",
|
|||
|
|
"2 18872 Carmignac Absolute Return Europe 2015-03-01 \n",
|
|||
|
|
"3 18872 Carmignac Absolute Return Europe 2015-04-01 \n",
|
|||
|
|
"4 18872 Carmignac Absolute Return Europe 2015-05-01 \n",
|
|||
|
|
"5 18872 Carmignac Absolute Return Europe 2015-06-01 \n",
|
|||
|
|
"6 18872 Carmignac Absolute Return Europe 2015-07-01 \n",
|
|||
|
|
"7 18872 Carmignac Absolute Return Europe 2015-08-01 \n",
|
|||
|
|
"8 18872 Carmignac Absolute Return Europe 2015-09-01 \n",
|
|||
|
|
"9 18872 Carmignac Absolute Return Europe 2015-10-01 \n",
|
|||
|
|
"\n",
|
|||
|
|
" aum_qty aum_val net_flow_qty gross_flow_qty sub_qty red_qty n_tx \\\n",
|
|||
|
|
"0 100.000 30624.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"1 100.000 31886.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"2 100.000 32026.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"3 100.000 32843.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"4 100.000 33545.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"5 100.000 32390.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"6 100.000 32163.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"7 100.000 30573.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"8 100.000 29065.0000 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"9 443.206 127980.1646 0.0 0.0 0.0 0.0 0.0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" n_isin_held n_isin_active ret_fund_m delta_rate_m region \\\n",
|
|||
|
|
"0 1 0 0.004902 -0.058 Switzerland \n",
|
|||
|
|
"1 1 0 0.026230 -0.022 Switzerland \n",
|
|||
|
|
"2 1 0 0.024272 -0.014 Switzerland \n",
|
|||
|
|
"3 1 0 0.000000 -0.077 Switzerland \n",
|
|||
|
|
"4 1 0 0.000000 -0.053 Switzerland \n",
|
|||
|
|
"5 1 0 0.000000 0.020 Switzerland \n",
|
|||
|
|
"6 1 0 0.003115 -0.042 Switzerland \n",
|
|||
|
|
"7 1 0 -0.004630 -0.008 Switzerland \n",
|
|||
|
|
"8 1 0 0.000000 -0.012 Switzerland \n",
|
|||
|
|
"9 1 0 -0.083823 -0.007 Switzerland \n",
|
|||
|
|
"\n",
|
|||
|
|
" country active_month flow_to_aum_m turnover_m sub_share_m \\\n",
|
|||
|
|
"0 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"1 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"2 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"3 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"4 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"5 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"6 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"7 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"8 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"9 Switzerland 0 0.0 0.0 NaN \n",
|
|||
|
|
"\n",
|
|||
|
|
" red_share_m aum_peak_to_date aum_drawdown total_client_aum_qty \\\n",
|
|||
|
|
"0 NaN 100.000 0.0 179864.637 \n",
|
|||
|
|
"1 NaN 100.000 0.0 186761.736 \n",
|
|||
|
|
"2 NaN 100.000 0.0 190357.718 \n",
|
|||
|
|
"3 NaN 100.000 0.0 191429.324 \n",
|
|||
|
|
"4 NaN 100.000 0.0 189056.475 \n",
|
|||
|
|
"5 NaN 100.000 0.0 188737.275 \n",
|
|||
|
|
"6 NaN 100.000 0.0 204372.466 \n",
|
|||
|
|
"7 NaN 100.000 0.0 204294.776 \n",
|
|||
|
|
"8 NaN 100.000 0.0 200179.763 \n",
|
|||
|
|
"9 NaN 443.206 0.0 193229.149 \n",
|
|||
|
|
"\n",
|
|||
|
|
" total_client_aum_val family_share_of_client_aum prev_aum entry_event \\\n",
|
|||
|
|
"0 7.043266e+07 0.000435 NaN 1 \n",
|
|||
|
|
"1 7.317400e+07 0.000436 100.0 0 \n",
|
|||
|
|
"2 7.653007e+07 0.000418 100.0 0 \n",
|
|||
|
|
"3 7.509285e+07 0.000437 100.0 0 \n",
|
|||
|
|
"4 7.650176e+07 0.000438 100.0 0 \n",
|
|||
|
|
"5 7.291397e+07 0.000444 100.0 0 \n",
|
|||
|
|
"6 7.523034e+07 0.000428 100.0 0 \n",
|
|||
|
|
"7 6.919099e+07 0.000442 100.0 0 \n",
|
|||
|
|
"8 6.492010e+07 0.000448 100.0 0 \n",
|
|||
|
|
"9 6.541687e+07 0.001956 100.0 0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" full_exit_event ret_fund_m_lag1 buy_on_perf sell_on_perf \\\n",
|
|||
|
|
"0 0 NaN 0 0 \n",
|
|||
|
|
"1 0 0.004902 0 0 \n",
|
|||
|
|
"2 0 0.026230 0 0 \n",
|
|||
|
|
"3 0 0.024272 0 0 \n",
|
|||
|
|
"4 0 0.000000 0 0 \n",
|
|||
|
|
"5 0 0.000000 0 0 \n",
|
|||
|
|
"6 0 0.000000 0 0 \n",
|
|||
|
|
"7 0 0.003115 0 0 \n",
|
|||
|
|
"8 0 -0.004630 0 0 \n",
|
|||
|
|
"9 0 0.000000 0 0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" ret_fund_mean3_lag1 ret_fund_mean6_lag1 buy_on_perf_mean3 \\\n",
|
|||
|
|
"0 NaN NaN 0 \n",
|
|||
|
|
"1 0.004902 0.004902 0 \n",
|
|||
|
|
"2 0.015566 0.015566 0 \n",
|
|||
|
|
"3 0.018468 0.018468 0 \n",
|
|||
|
|
"4 0.016834 0.013851 0 \n",
|
|||
|
|
"5 0.008091 0.011081 0 \n",
|
|||
|
|
"6 0.000000 0.009234 0 \n",
|
|||
|
|
"7 0.001038 0.008936 0 \n",
|
|||
|
|
"8 -0.000505 0.003793 0 \n",
|
|||
|
|
"9 -0.000505 -0.000252 0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" sell_on_perf_mean3 buy_on_perf_mean6 sell_on_perf_mean6 \\\n",
|
|||
|
|
"0 0 0 0 \n",
|
|||
|
|
"1 0 0 0 \n",
|
|||
|
|
"2 0 0 0 \n",
|
|||
|
|
"3 0 0 0 \n",
|
|||
|
|
"4 0 0 0 \n",
|
|||
|
|
"5 0 0 0 \n",
|
|||
|
|
"6 0 0 0 \n",
|
|||
|
|
"7 0 0 0 \n",
|
|||
|
|
"8 0 0 0 \n",
|
|||
|
|
"9 0 0 0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" turnover_m_mean3 flow_to_aum_m_mean3 turnover_m_mean6 \\\n",
|
|||
|
|
"0 0.0 0.0 0.0 \n",
|
|||
|
|
"1 0.0 0.0 0.0 \n",
|
|||
|
|
"2 0.0 0.0 0.0 \n",
|
|||
|
|
"3 0.0 0.0 0.0 \n",
|
|||
|
|
"4 0.0 0.0 0.0 \n",
|
|||
|
|
"5 0.0 0.0 0.0 \n",
|
|||
|
|
"6 0.0 0.0 0.0 \n",
|
|||
|
|
"7 0.0 0.0 0.0 \n",
|
|||
|
|
"8 0.0 0.0 0.0 \n",
|
|||
|
|
"9 0.0 0.0 0.0 \n",
|
|||
|
|
"\n",
|
|||
|
|
" flow_to_aum_m_mean6 turnover_m_mean12 flow_to_aum_m_mean12 \n",
|
|||
|
|
"0 0.0 0.0 0.0 \n",
|
|||
|
|
"1 0.0 0.0 0.0 \n",
|
|||
|
|
"2 0.0 0.0 0.0 \n",
|
|||
|
|
"3 0.0 0.0 0.0 \n",
|
|||
|
|
"4 0.0 0.0 0.0 \n",
|
|||
|
|
"5 0.0 0.0 0.0 \n",
|
|||
|
|
"6 0.0 0.0 0.0 \n",
|
|||
|
|
"7 0.0 0.0 0.0 \n",
|
|||
|
|
"8 0.0 0.0 0.0 \n",
|
|||
|
|
"9 0.0 0.0 0.0 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 15,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"#feature engineering temporel au niveau client × famille × mois\n",
|
|||
|
|
"tmp = df_family_month.sort_values([ID_COL, \"fund_family\", \"month\"]).reset_index(drop=True)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"prev_aum\"] = tmp.groupby([ID_COL, \"fund_family\"])[\"aum_qty\"].shift(1)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"entry_event\"] = (\n",
|
|||
|
|
" (tmp[\"prev_aum\"].fillna(0) <= 0) & (tmp[\"aum_qty\"] > 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"full_exit_event\"] = (\n",
|
|||
|
|
" (tmp[\"prev_aum\"] > 0) & (tmp[\"aum_qty\"] <= 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"ret_fund_m_lag1\"] = tmp.groupby([ID_COL, \"fund_family\"])[\"ret_fund_m\"].shift(1)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"buy_on_perf\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] > 0) & (tmp[\"ret_fund_m_lag1\"] > 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"sell_on_perf\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] < 0) & (tmp[\"ret_fund_m_lag1\"] < 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"ret_fund_mean3_lag1\"] = (\n",
|
|||
|
|
" tmp.groupby([ID_COL, \"fund_family\"])[\"ret_fund_m\"]\n",
|
|||
|
|
" .transform(lambda s: s.shift(1).rolling(3, min_periods=1).mean())\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"ret_fund_mean6_lag1\"] = (\n",
|
|||
|
|
" tmp.groupby([ID_COL, \"fund_family\"])[\"ret_fund_m\"]\n",
|
|||
|
|
" .transform(lambda s: s.shift(1).rolling(6, min_periods=1).mean())\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"buy_on_perf_mean3\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] > 0) & (tmp[\"ret_fund_mean3_lag1\"] > 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"sell_on_perf_mean3\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] < 0) & (tmp[\"ret_fund_mean3_lag1\"] < 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"buy_on_perf_mean6\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] > 0) & (tmp[\"ret_fund_mean6_lag1\"] > 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp[\"sell_on_perf_mean6\"] = (\n",
|
|||
|
|
" (tmp[\"net_flow_qty\"] < 0) & (tmp[\"ret_fund_mean6_lag1\"] < 0)\n",
|
|||
|
|
").astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"for w in [3, 6, 12]:\n",
|
|||
|
|
" tmp[f\"turnover_m_mean{w}\"] = (\n",
|
|||
|
|
" tmp.groupby([ID_COL, \"fund_family\"])[\"turnover_m\"]\n",
|
|||
|
|
" .transform(lambda s: s.rolling(w, min_periods=1).mean())\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" tmp[f\"flow_to_aum_m_mean{w}\"] = (\n",
|
|||
|
|
" tmp.groupby([ID_COL, \"fund_family\"])[\"flow_to_aum_m\"]\n",
|
|||
|
|
" .transform(lambda s: s.rolling(w, min_periods=1).mean())\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(tmp.shape)\n",
|
|||
|
|
"tmp.head(10)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 16,
|
|||
|
|
"id": "965cd530-9985-4d57-938c-cef531459c39",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"df_family_client_base shape: (7282, 49)\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Registrar Account - ID</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>n_months</th>\n",
|
|||
|
|
" <th>n_active_months</th>\n",
|
|||
|
|
" <th>flow_freq</th>\n",
|
|||
|
|
" <th>family_aum_qty_mean</th>\n",
|
|||
|
|
" <th>family_aum_qty_median</th>\n",
|
|||
|
|
" <th>family_aum_qty_max</th>\n",
|
|||
|
|
" <th>family_aum_qty_last</th>\n",
|
|||
|
|
" <th>family_aum_val_mean</th>\n",
|
|||
|
|
" <th>family_aum_val_last</th>\n",
|
|||
|
|
" <th>net_flow_qty_sum</th>\n",
|
|||
|
|
" <th>gross_flow_qty_sum</th>\n",
|
|||
|
|
" <th>gross_flow_qty_mean</th>\n",
|
|||
|
|
" <th>sub_qty_sum</th>\n",
|
|||
|
|
" <th>red_qty_sum</th>\n",
|
|||
|
|
" <th>n_tx_total</th>\n",
|
|||
|
|
" <th>avg_n_isin_held</th>\n",
|
|||
|
|
" <th>max_n_isin_held</th>\n",
|
|||
|
|
" <th>net_flow_qty_vol</th>\n",
|
|||
|
|
" <th>flow_to_aum_mean</th>\n",
|
|||
|
|
" <th>flow_to_aum_vol</th>\n",
|
|||
|
|
" <th>turnover_mean</th>\n",
|
|||
|
|
" <th>turnover_vol</th>\n",
|
|||
|
|
" <th>sub_share_mean</th>\n",
|
|||
|
|
" <th>red_share_mean</th>\n",
|
|||
|
|
" <th>aum_drawdown_last</th>\n",
|
|||
|
|
" <th>aum_drawdown_max</th>\n",
|
|||
|
|
" <th>entry_count</th>\n",
|
|||
|
|
" <th>full_exit_count</th>\n",
|
|||
|
|
" <th>buy_on_perf_rate</th>\n",
|
|||
|
|
" <th>sell_on_perf_rate</th>\n",
|
|||
|
|
" <th>buy_on_perf_mean3_rate</th>\n",
|
|||
|
|
" <th>sell_on_perf_mean3_rate</th>\n",
|
|||
|
|
" <th>buy_on_perf_mean6_rate</th>\n",
|
|||
|
|
" <th>sell_on_perf_mean6_rate</th>\n",
|
|||
|
|
" <th>turnover_mean3_avg</th>\n",
|
|||
|
|
" <th>turnover_mean6_avg</th>\n",
|
|||
|
|
" <th>turnover_mean12_avg</th>\n",
|
|||
|
|
" <th>flow_to_aum_mean3_avg</th>\n",
|
|||
|
|
" <th>flow_to_aum_mean6_avg</th>\n",
|
|||
|
|
" <th>flow_to_aum_mean12_avg</th>\n",
|
|||
|
|
" <th>family_share_of_client_aum_mean</th>\n",
|
|||
|
|
" <th>family_share_of_client_aum_max</th>\n",
|
|||
|
|
" <th>ret_fund_m_mean</th>\n",
|
|||
|
|
" <th>delta_rate_m_mean</th>\n",
|
|||
|
|
" <th>region</th>\n",
|
|||
|
|
" <th>country</th>\n",
|
|||
|
|
" <th>months_since_last_tx_family</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>130</td>\n",
|
|||
|
|
" <td>8</td>\n",
|
|||
|
|
" <td>0.061538</td>\n",
|
|||
|
|
" <td>886.504908</td>\n",
|
|||
|
|
" <td>672.748</td>\n",
|
|||
|
|
" <td>3012.748</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>3.479000e+05</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>-123.206</td>\n",
|
|||
|
|
" <td>5403.206</td>\n",
|
|||
|
|
" <td>41.563123</td>\n",
|
|||
|
|
" <td>2640.000</td>\n",
|
|||
|
|
" <td>-2763.206</td>\n",
|
|||
|
|
" <td>9.0</td>\n",
|
|||
|
|
" <td>0.830769</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>237.868298</td>\n",
|
|||
|
|
" <td>-0.015569</td>\n",
|
|||
|
|
" <td>0.211558</td>\n",
|
|||
|
|
" <td>0.037561</td>\n",
|
|||
|
|
" <td>0.208752</td>\n",
|
|||
|
|
" <td>0.375000</td>\n",
|
|||
|
|
" <td>-0.625000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.007692</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.015385</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.015385</td>\n",
|
|||
|
|
" <td>0.007692</td>\n",
|
|||
|
|
" <td>0.036878</td>\n",
|
|||
|
|
" <td>0.035899</td>\n",
|
|||
|
|
" <td>0.034487</td>\n",
|
|||
|
|
" <td>-0.015286</td>\n",
|
|||
|
|
" <td>-0.014881</td>\n",
|
|||
|
|
" <td>-0.014528</td>\n",
|
|||
|
|
" <td>0.011541</td>\n",
|
|||
|
|
" <td>0.050205</td>\n",
|
|||
|
|
" <td>0.001311</td>\n",
|
|||
|
|
" <td>0.013723</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>29.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac China New Economy</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>19.545000</td>\n",
|
|||
|
|
" <td>19.545</td>\n",
|
|||
|
|
" <td>19.545</td>\n",
|
|||
|
|
" <td>19.545</td>\n",
|
|||
|
|
" <td>1.209445e+03</td>\n",
|
|||
|
|
" <td>1.209445e+03</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000037</td>\n",
|
|||
|
|
" <td>0.000037</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.002000</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" <td>47</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.021277</td>\n",
|
|||
|
|
" <td>28.340426</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>666.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>1.061668e+05</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>-666.000</td>\n",
|
|||
|
|
" <td>666.000</td>\n",
|
|||
|
|
" <td>14.170213</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>-666.000</td>\n",
|
|||
|
|
" <td>1.0</td>\n",
|
|||
|
|
" <td>0.042553</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>97.146084</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.001850</td>\n",
|
|||
|
|
" <td>0.044187</td>\n",
|
|||
|
|
" <td>-0.000342</td>\n",
|
|||
|
|
" <td>-0.004468</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>94.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Credit <NUM></td>\n",
|
|||
|
|
" <td>23</td>\n",
|
|||
|
|
" <td>6</td>\n",
|
|||
|
|
" <td>0.260870</td>\n",
|
|||
|
|
" <td>7901.739130</td>\n",
|
|||
|
|
" <td>5455.000</td>\n",
|
|||
|
|
" <td>14240.000</td>\n",
|
|||
|
|
" <td>14240.000</td>\n",
|
|||
|
|
" <td>9.231846e+05</td>\n",
|
|||
|
|
" <td>1.711014e+06</td>\n",
|
|||
|
|
" <td>14240.000</td>\n",
|
|||
|
|
" <td>14240.000</td>\n",
|
|||
|
|
" <td>619.130435</td>\n",
|
|||
|
|
" <td>14240.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>6.0</td>\n",
|
|||
|
|
" <td>3.043478</td>\n",
|
|||
|
|
" <td>5</td>\n",
|
|||
|
|
" <td>1747.389385</td>\n",
|
|||
|
|
" <td>0.118826</td>\n",
|
|||
|
|
" <td>0.278576</td>\n",
|
|||
|
|
" <td>0.118826</td>\n",
|
|||
|
|
" <td>0.278576</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.154477</td>\n",
|
|||
|
|
" <td>0.182237</td>\n",
|
|||
|
|
" <td>0.217451</td>\n",
|
|||
|
|
" <td>0.154477</td>\n",
|
|||
|
|
" <td>0.182237</td>\n",
|
|||
|
|
" <td>0.217451</td>\n",
|
|||
|
|
" <td>0.034637</td>\n",
|
|||
|
|
" <td>0.061213</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.085826</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>130</td>\n",
|
|||
|
|
" <td>37</td>\n",
|
|||
|
|
" <td>0.284615</td>\n",
|
|||
|
|
" <td>2250.665769</td>\n",
|
|||
|
|
" <td>606.000</td>\n",
|
|||
|
|
" <td>8900.649</td>\n",
|
|||
|
|
" <td>167.799</td>\n",
|
|||
|
|
" <td>1.930753e+06</td>\n",
|
|||
|
|
" <td>2.563734e+05</td>\n",
|
|||
|
|
" <td>-7116.537</td>\n",
|
|||
|
|
" <td>7708.537</td>\n",
|
|||
|
|
" <td>59.296438</td>\n",
|
|||
|
|
" <td>296.000</td>\n",
|
|||
|
|
" <td>-7412.537</td>\n",
|
|||
|
|
" <td>55.0</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>219.774317</td>\n",
|
|||
|
|
" <td>-0.025186</td>\n",
|
|||
|
|
" <td>0.147716</td>\n",
|
|||
|
|
" <td>0.034426</td>\n",
|
|||
|
|
" <td>0.145825</td>\n",
|
|||
|
|
" <td>0.179537</td>\n",
|
|||
|
|
" <td>-0.820463</td>\n",
|
|||
|
|
" <td>0.981148</td>\n",
|
|||
|
|
" <td>0.985394</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.015385</td>\n",
|
|||
|
|
" <td>0.007692</td>\n",
|
|||
|
|
" <td>0.053846</td>\n",
|
|||
|
|
" <td>0.023077</td>\n",
|
|||
|
|
" <td>0.053846</td>\n",
|
|||
|
|
" <td>0.034430</td>\n",
|
|||
|
|
" <td>0.034449</td>\n",
|
|||
|
|
" <td>0.034690</td>\n",
|
|||
|
|
" <td>-0.025185</td>\n",
|
|||
|
|
" <td>-0.025190</td>\n",
|
|||
|
|
" <td>-0.025412</td>\n",
|
|||
|
|
" <td>0.040489</td>\n",
|
|||
|
|
" <td>0.103768</td>\n",
|
|||
|
|
" <td>0.006332</td>\n",
|
|||
|
|
" <td>0.013723</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>32.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Entrepreneurs</td>\n",
|
|||
|
|
" <td>80</td>\n",
|
|||
|
|
" <td>9</td>\n",
|
|||
|
|
" <td>0.112500</td>\n",
|
|||
|
|
" <td>2321.171212</td>\n",
|
|||
|
|
" <td>184.023</td>\n",
|
|||
|
|
" <td>15725.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>8.452421e+05</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>-7093.880</td>\n",
|
|||
|
|
" <td>7963.880</td>\n",
|
|||
|
|
" <td>99.548500</td>\n",
|
|||
|
|
" <td>435.000</td>\n",
|
|||
|
|
" <td>-7528.880</td>\n",
|
|||
|
|
" <td>10.0</td>\n",
|
|||
|
|
" <td>0.625000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>578.951646</td>\n",
|
|||
|
|
" <td>-0.024076</td>\n",
|
|||
|
|
" <td>0.148697</td>\n",
|
|||
|
|
" <td>0.056100</td>\n",
|
|||
|
|
" <td>0.139609</td>\n",
|
|||
|
|
" <td>0.222222</td>\n",
|
|||
|
|
" <td>-0.777778</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>2</td>\n",
|
|||
|
|
" <td>2</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.051944</td>\n",
|
|||
|
|
" <td>0.046856</td>\n",
|
|||
|
|
" <td>0.042090</td>\n",
|
|||
|
|
" <td>-0.022293</td>\n",
|
|||
|
|
" <td>-0.020170</td>\n",
|
|||
|
|
" <td>-0.017985</td>\n",
|
|||
|
|
" <td>0.017608</td>\n",
|
|||
|
|
" <td>0.113984</td>\n",
|
|||
|
|
" <td>0.009313</td>\n",
|
|||
|
|
" <td>-0.008925</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>63.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Euro-Investissement</td>\n",
|
|||
|
|
" <td>80</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>NaN</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-0.008925</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>0.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>130</td>\n",
|
|||
|
|
" <td>69</td>\n",
|
|||
|
|
" <td>0.530769</td>\n",
|
|||
|
|
" <td>5287.072846</td>\n",
|
|||
|
|
" <td>3200.800</td>\n",
|
|||
|
|
" <td>13396.330</td>\n",
|
|||
|
|
" <td>1575.000</td>\n",
|
|||
|
|
" <td>4.084883e+06</td>\n",
|
|||
|
|
" <td>2.922383e+06</td>\n",
|
|||
|
|
" <td>-8322.670</td>\n",
|
|||
|
|
" <td>18663.578</td>\n",
|
|||
|
|
" <td>143.565985</td>\n",
|
|||
|
|
" <td>5170.454</td>\n",
|
|||
|
|
" <td>-13493.124</td>\n",
|
|||
|
|
" <td>159.0</td>\n",
|
|||
|
|
" <td>3.146154</td>\n",
|
|||
|
|
" <td>4</td>\n",
|
|||
|
|
" <td>448.840939</td>\n",
|
|||
|
|
" <td>-0.015065</td>\n",
|
|||
|
|
" <td>0.102880</td>\n",
|
|||
|
|
" <td>0.025599</td>\n",
|
|||
|
|
" <td>0.104667</td>\n",
|
|||
|
|
" <td>0.094726</td>\n",
|
|||
|
|
" <td>-0.905274</td>\n",
|
|||
|
|
" <td>0.882430</td>\n",
|
|||
|
|
" <td>0.882430</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0</td>\n",
|
|||
|
|
" <td>0.023077</td>\n",
|
|||
|
|
" <td>0.076923</td>\n",
|
|||
|
|
" <td>0.030769</td>\n",
|
|||
|
|
" <td>0.130769</td>\n",
|
|||
|
|
" <td>0.038462</td>\n",
|
|||
|
|
" <td>0.153846</td>\n",
|
|||
|
|
" <td>0.025715</td>\n",
|
|||
|
|
" <td>0.025793</td>\n",
|
|||
|
|
" <td>0.025706</td>\n",
|
|||
|
|
" <td>-0.015182</td>\n",
|
|||
|
|
" <td>-0.015068</td>\n",
|
|||
|
|
" <td>-0.014639</td>\n",
|
|||
|
|
" <td>0.111235</td>\n",
|
|||
|
|
" <td>0.154495</td>\n",
|
|||
|
|
" <td>0.005852</td>\n",
|
|||
|
|
" <td>0.013723</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>2.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Investissement Latitude</td>\n",
|
|||
|
|
" <td>80</td>\n",
|
|||
|
|
" <td>8</td>\n",
|
|||
|
|
" <td>0.100000</td>\n",
|
|||
|
|
" <td>891.837500</td>\n",
|
|||
|
|
" <td>1222.000</td>\n",
|
|||
|
|
" <td>1717.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>2.310840e+05</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>-2958.000</td>\n",
|
|||
|
|
" <td>2958.000</td>\n",
|
|||
|
|
" <td>36.975000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>-2958.000</td>\n",
|
|||
|
|
" <td>9.0</td>\n",
|
|||
|
|
" <td>0.787500</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>184.846907</td>\n",
|
|||
|
|
" <td>-0.036575</td>\n",
|
|||
|
|
" <td>0.148040</td>\n",
|
|||
|
|
" <td>0.036575</td>\n",
|
|||
|
|
" <td>0.148040</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.025000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.037500</td>\n",
|
|||
|
|
" <td>0.047173</td>\n",
|
|||
|
|
" <td>0.053641</td>\n",
|
|||
|
|
" <td>0.057770</td>\n",
|
|||
|
|
" <td>-0.047173</td>\n",
|
|||
|
|
" <td>-0.053641</td>\n",
|
|||
|
|
" <td>-0.057770</td>\n",
|
|||
|
|
" <td>0.004618</td>\n",
|
|||
|
|
" <td>0.008707</td>\n",
|
|||
|
|
" <td>0.002647</td>\n",
|
|||
|
|
" <td>-0.008925</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>66.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Multi Expertise</td>\n",
|
|||
|
|
" <td>80</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>243.500000</td>\n",
|
|||
|
|
" <td>164.000</td>\n",
|
|||
|
|
" <td>564.000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>4.327213e+04</td>\n",
|
|||
|
|
" <td>0.000000e+00</td>\n",
|
|||
|
|
" <td>-400.000</td>\n",
|
|||
|
|
" <td>400.000</td>\n",
|
|||
|
|
" <td>5.000000</td>\n",
|
|||
|
|
" <td>0.000</td>\n",
|
|||
|
|
" <td>-400.000</td>\n",
|
|||
|
|
" <td>1.0</td>\n",
|
|||
|
|
" <td>0.875000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>44.721360</td>\n",
|
|||
|
|
" <td>-0.034843</td>\n",
|
|||
|
|
" <td>0.291519</td>\n",
|
|||
|
|
" <td>0.034843</td>\n",
|
|||
|
|
" <td>0.291519</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>-1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1.000000</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>1</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.012500</td>\n",
|
|||
|
|
" <td>0.033875</td>\n",
|
|||
|
|
" <td>0.032520</td>\n",
|
|||
|
|
" <td>0.030488</td>\n",
|
|||
|
|
" <td>-0.033875</td>\n",
|
|||
|
|
" <td>-0.032520</td>\n",
|
|||
|
|
" <td>-0.030488</td>\n",
|
|||
|
|
" <td>0.000971</td>\n",
|
|||
|
|
" <td>0.002025</td>\n",
|
|||
|
|
" <td>0.003772</td>\n",
|
|||
|
|
" <td>-0.008925</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>Switzerland</td>\n",
|
|||
|
|
" <td>109.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Registrar Account - ID fund_family n_months \\\n",
|
|||
|
|
"0 18872 Carmignac Absolute Return Europe 130 \n",
|
|||
|
|
"1 18872 Carmignac China New Economy 1 \n",
|
|||
|
|
"2 18872 Carmignac Court Terme 47 \n",
|
|||
|
|
"3 18872 Carmignac Credit <NUM> 23 \n",
|
|||
|
|
"4 18872 Carmignac Emergents 130 \n",
|
|||
|
|
"5 18872 Carmignac Euro-Entrepreneurs 80 \n",
|
|||
|
|
"6 18872 Carmignac Euro-Investissement 80 \n",
|
|||
|
|
"7 18872 Carmignac Investissement 130 \n",
|
|||
|
|
"8 18872 Carmignac Investissement Latitude 80 \n",
|
|||
|
|
"9 18872 Carmignac Multi Expertise 80 \n",
|
|||
|
|
"\n",
|
|||
|
|
" n_active_months flow_freq family_aum_qty_mean family_aum_qty_median \\\n",
|
|||
|
|
"0 8 0.061538 886.504908 672.748 \n",
|
|||
|
|
"1 0 0.000000 19.545000 19.545 \n",
|
|||
|
|
"2 1 0.021277 28.340426 0.000 \n",
|
|||
|
|
"3 6 0.260870 7901.739130 5455.000 \n",
|
|||
|
|
"4 37 0.284615 2250.665769 606.000 \n",
|
|||
|
|
"5 9 0.112500 2321.171212 184.023 \n",
|
|||
|
|
"6 0 0.000000 0.000000 0.000 \n",
|
|||
|
|
"7 69 0.530769 5287.072846 3200.800 \n",
|
|||
|
|
"8 8 0.100000 891.837500 1222.000 \n",
|
|||
|
|
"9 1 0.012500 243.500000 164.000 \n",
|
|||
|
|
"\n",
|
|||
|
|
" family_aum_qty_max family_aum_qty_last family_aum_val_mean \\\n",
|
|||
|
|
"0 3012.748 0.000 3.479000e+05 \n",
|
|||
|
|
"1 19.545 19.545 1.209445e+03 \n",
|
|||
|
|
"2 666.000 0.000 1.061668e+05 \n",
|
|||
|
|
"3 14240.000 14240.000 9.231846e+05 \n",
|
|||
|
|
"4 8900.649 167.799 1.930753e+06 \n",
|
|||
|
|
"5 15725.000 0.000 8.452421e+05 \n",
|
|||
|
|
"6 0.000 0.000 0.000000e+00 \n",
|
|||
|
|
"7 13396.330 1575.000 4.084883e+06 \n",
|
|||
|
|
"8 1717.000 0.000 2.310840e+05 \n",
|
|||
|
|
"9 564.000 0.000 4.327213e+04 \n",
|
|||
|
|
"\n",
|
|||
|
|
" family_aum_val_last net_flow_qty_sum gross_flow_qty_sum \\\n",
|
|||
|
|
"0 0.000000e+00 -123.206 5403.206 \n",
|
|||
|
|
"1 1.209445e+03 0.000 0.000 \n",
|
|||
|
|
"2 0.000000e+00 -666.000 666.000 \n",
|
|||
|
|
"3 1.711014e+06 14240.000 14240.000 \n",
|
|||
|
|
"4 2.563734e+05 -7116.537 7708.537 \n",
|
|||
|
|
"5 0.000000e+00 -7093.880 7963.880 \n",
|
|||
|
|
"6 0.000000e+00 0.000 0.000 \n",
|
|||
|
|
"7 2.922383e+06 -8322.670 18663.578 \n",
|
|||
|
|
"8 0.000000e+00 -2958.000 2958.000 \n",
|
|||
|
|
"9 0.000000e+00 -400.000 400.000 \n",
|
|||
|
|
"\n",
|
|||
|
|
" gross_flow_qty_mean sub_qty_sum red_qty_sum n_tx_total avg_n_isin_held \\\n",
|
|||
|
|
"0 41.563123 2640.000 -2763.206 9.0 0.830769 \n",
|
|||
|
|
"1 0.000000 0.000 0.000 0.0 1.000000 \n",
|
|||
|
|
"2 14.170213 0.000 -666.000 1.0 0.042553 \n",
|
|||
|
|
"3 619.130435 14240.000 0.000 6.0 3.043478 \n",
|
|||
|
|
"4 59.296438 296.000 -7412.537 55.0 1.000000 \n",
|
|||
|
|
"5 99.548500 435.000 -7528.880 10.0 0.625000 \n",
|
|||
|
|
"6 0.000000 0.000 0.000 0.0 0.000000 \n",
|
|||
|
|
"7 143.565985 5170.454 -13493.124 159.0 3.146154 \n",
|
|||
|
|
"8 36.975000 0.000 -2958.000 9.0 0.787500 \n",
|
|||
|
|
"9 5.000000 0.000 -400.000 1.0 0.875000 \n",
|
|||
|
|
"\n",
|
|||
|
|
" max_n_isin_held net_flow_qty_vol flow_to_aum_mean flow_to_aum_vol \\\n",
|
|||
|
|
"0 1 237.868298 -0.015569 0.211558 \n",
|
|||
|
|
"1 1 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"2 1 97.146084 0.000000 0.000000 \n",
|
|||
|
|
"3 5 1747.389385 0.118826 0.278576 \n",
|
|||
|
|
"4 1 219.774317 -0.025186 0.147716 \n",
|
|||
|
|
"5 1 578.951646 -0.024076 0.148697 \n",
|
|||
|
|
"6 0 0.000000 NaN 0.000000 \n",
|
|||
|
|
"7 4 448.840939 -0.015065 0.102880 \n",
|
|||
|
|
"8 1 184.846907 -0.036575 0.148040 \n",
|
|||
|
|
"9 1 44.721360 -0.034843 0.291519 \n",
|
|||
|
|
"\n",
|
|||
|
|
" turnover_mean turnover_vol sub_share_mean red_share_mean \\\n",
|
|||
|
|
"0 0.037561 0.208752 0.375000 -0.625000 \n",
|
|||
|
|
"1 0.000000 0.000000 NaN NaN \n",
|
|||
|
|
"2 0.000000 0.000000 0.000000 -1.000000 \n",
|
|||
|
|
"3 0.118826 0.278576 1.000000 0.000000 \n",
|
|||
|
|
"4 0.034426 0.145825 0.179537 -0.820463 \n",
|
|||
|
|
"5 0.056100 0.139609 0.222222 -0.777778 \n",
|
|||
|
|
"6 NaN 0.000000 NaN NaN \n",
|
|||
|
|
"7 0.025599 0.104667 0.094726 -0.905274 \n",
|
|||
|
|
"8 0.036575 0.148040 0.000000 -1.000000 \n",
|
|||
|
|
"9 0.034843 0.291519 0.000000 -1.000000 \n",
|
|||
|
|
"\n",
|
|||
|
|
" aum_drawdown_last aum_drawdown_max entry_count full_exit_count \\\n",
|
|||
|
|
"0 1.000000 1.000000 1 1 \n",
|
|||
|
|
"1 0.000000 0.000000 1 0 \n",
|
|||
|
|
"2 1.000000 1.000000 1 1 \n",
|
|||
|
|
"3 0.000000 0.000000 1 0 \n",
|
|||
|
|
"4 0.981148 0.985394 1 0 \n",
|
|||
|
|
"5 1.000000 1.000000 2 2 \n",
|
|||
|
|
"6 NaN NaN 0 0 \n",
|
|||
|
|
"7 0.882430 0.882430 1 0 \n",
|
|||
|
|
"8 1.000000 1.000000 1 1 \n",
|
|||
|
|
"9 1.000000 1.000000 1 1 \n",
|
|||
|
|
"\n",
|
|||
|
|
" buy_on_perf_rate sell_on_perf_rate buy_on_perf_mean3_rate \\\n",
|
|||
|
|
"0 0.007692 0.000000 0.015385 \n",
|
|||
|
|
"1 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"2 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"3 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"4 0.000000 0.015385 0.007692 \n",
|
|||
|
|
"5 0.012500 0.000000 0.012500 \n",
|
|||
|
|
"6 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"7 0.023077 0.076923 0.030769 \n",
|
|||
|
|
"8 0.000000 0.012500 0.000000 \n",
|
|||
|
|
"9 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"\n",
|
|||
|
|
" sell_on_perf_mean3_rate buy_on_perf_mean6_rate sell_on_perf_mean6_rate \\\n",
|
|||
|
|
"0 0.000000 0.015385 0.007692 \n",
|
|||
|
|
"1 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"2 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"3 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"4 0.053846 0.023077 0.053846 \n",
|
|||
|
|
"5 0.000000 0.012500 0.000000 \n",
|
|||
|
|
"6 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"7 0.130769 0.038462 0.153846 \n",
|
|||
|
|
"8 0.025000 0.000000 0.037500 \n",
|
|||
|
|
"9 0.000000 0.000000 0.012500 \n",
|
|||
|
|
"\n",
|
|||
|
|
" turnover_mean3_avg turnover_mean6_avg turnover_mean12_avg \\\n",
|
|||
|
|
"0 0.036878 0.035899 0.034487 \n",
|
|||
|
|
"1 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"2 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"3 0.154477 0.182237 0.217451 \n",
|
|||
|
|
"4 0.034430 0.034449 0.034690 \n",
|
|||
|
|
"5 0.051944 0.046856 0.042090 \n",
|
|||
|
|
"6 NaN NaN NaN \n",
|
|||
|
|
"7 0.025715 0.025793 0.025706 \n",
|
|||
|
|
"8 0.047173 0.053641 0.057770 \n",
|
|||
|
|
"9 0.033875 0.032520 0.030488 \n",
|
|||
|
|
"\n",
|
|||
|
|
" flow_to_aum_mean3_avg flow_to_aum_mean6_avg flow_to_aum_mean12_avg \\\n",
|
|||
|
|
"0 -0.015286 -0.014881 -0.014528 \n",
|
|||
|
|
"1 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"2 0.000000 0.000000 0.000000 \n",
|
|||
|
|
"3 0.154477 0.182237 0.217451 \n",
|
|||
|
|
"4 -0.025185 -0.025190 -0.025412 \n",
|
|||
|
|
"5 -0.022293 -0.020170 -0.017985 \n",
|
|||
|
|
"6 NaN NaN NaN \n",
|
|||
|
|
"7 -0.015182 -0.015068 -0.014639 \n",
|
|||
|
|
"8 -0.047173 -0.053641 -0.057770 \n",
|
|||
|
|
"9 -0.033875 -0.032520 -0.030488 \n",
|
|||
|
|
"\n",
|
|||
|
|
" family_share_of_client_aum_mean family_share_of_client_aum_max \\\n",
|
|||
|
|
"0 0.011541 0.050205 \n",
|
|||
|
|
"1 0.000037 0.000037 \n",
|
|||
|
|
"2 0.001850 0.044187 \n",
|
|||
|
|
"3 0.034637 0.061213 \n",
|
|||
|
|
"4 0.040489 0.103768 \n",
|
|||
|
|
"5 0.017608 0.113984 \n",
|
|||
|
|
"6 0.000000 0.000000 \n",
|
|||
|
|
"7 0.111235 0.154495 \n",
|
|||
|
|
"8 0.004618 0.008707 \n",
|
|||
|
|
"9 0.000971 0.002025 \n",
|
|||
|
|
"\n",
|
|||
|
|
" ret_fund_m_mean delta_rate_m_mean region country \\\n",
|
|||
|
|
"0 0.001311 0.013723 Switzerland Switzerland \n",
|
|||
|
|
"1 0.000000 0.002000 Switzerland Switzerland \n",
|
|||
|
|
"2 -0.000342 -0.004468 Switzerland Switzerland \n",
|
|||
|
|
"3 0.000000 -0.085826 Switzerland Switzerland \n",
|
|||
|
|
"4 0.006332 0.013723 Switzerland Switzerland \n",
|
|||
|
|
"5 0.009313 -0.008925 Switzerland Switzerland \n",
|
|||
|
|
"6 0.000000 -0.008925 Switzerland Switzerland \n",
|
|||
|
|
"7 0.005852 0.013723 Switzerland Switzerland \n",
|
|||
|
|
"8 0.002647 -0.008925 Switzerland Switzerland \n",
|
|||
|
|
"9 0.003772 -0.008925 Switzerland Switzerland \n",
|
|||
|
|
"\n",
|
|||
|
|
" months_since_last_tx_family \n",
|
|||
|
|
"0 29.0 \n",
|
|||
|
|
"1 0.0 \n",
|
|||
|
|
"2 94.0 \n",
|
|||
|
|
"3 0.0 \n",
|
|||
|
|
"4 32.0 \n",
|
|||
|
|
"5 63.0 \n",
|
|||
|
|
"6 0.0 \n",
|
|||
|
|
"7 2.0 \n",
|
|||
|
|
"8 66.0 \n",
|
|||
|
|
"9 109.0 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 16,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"#table finale de features au niveau client × famille\n",
|
|||
|
|
"months_since_last_tx = add_months_since_last_tx_by_group(\n",
|
|||
|
|
" tmp,\n",
|
|||
|
|
" id_cols=[ID_COL, \"fund_family\"],\n",
|
|||
|
|
" active_col=\"active_month\",\n",
|
|||
|
|
" month_col=\"month\",\n",
|
|||
|
|
" suffix=\"_family\"\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base = (\n",
|
|||
|
|
" tmp\n",
|
|||
|
|
" .groupby([ID_COL, \"fund_family\"], as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" n_months=(\"month\", \"nunique\"),\n",
|
|||
|
|
" n_active_months=(\"active_month\", \"sum\"),\n",
|
|||
|
|
" flow_freq=(\"active_month\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" family_aum_qty_mean=(\"aum_qty\", \"mean\"),\n",
|
|||
|
|
" family_aum_qty_median=(\"aum_qty\", \"median\"),\n",
|
|||
|
|
" family_aum_qty_max=(\"aum_qty\", \"max\"),\n",
|
|||
|
|
" family_aum_qty_last=(\"aum_qty\", \"last\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" family_aum_val_mean=(\"aum_val\", \"mean\"),\n",
|
|||
|
|
" family_aum_val_last=(\"aum_val\", \"last\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" net_flow_qty_sum=(\"net_flow_qty\", \"sum\"),\n",
|
|||
|
|
" gross_flow_qty_sum=(\"gross_flow_qty\", \"sum\"),\n",
|
|||
|
|
" gross_flow_qty_mean=(\"gross_flow_qty\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" sub_qty_sum=(\"sub_qty\", \"sum\"),\n",
|
|||
|
|
" red_qty_sum=(\"red_qty\", \"sum\"),\n",
|
|||
|
|
" n_tx_total=(\"n_tx\", \"sum\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" avg_n_isin_held=(\"n_isin_held\", \"mean\"),\n",
|
|||
|
|
" max_n_isin_held=(\"n_isin_held\", \"max\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" net_flow_qty_vol=(\"net_flow_qty\", \"std\"),\n",
|
|||
|
|
" flow_to_aum_mean=(\"flow_to_aum_m\", \"mean\"),\n",
|
|||
|
|
" flow_to_aum_vol=(\"flow_to_aum_m\", \"std\"),\n",
|
|||
|
|
" turnover_mean=(\"turnover_m\", \"mean\"),\n",
|
|||
|
|
" turnover_vol=(\"turnover_m\", \"std\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" sub_share_mean=(\"sub_share_m\", \"mean\"),\n",
|
|||
|
|
" red_share_mean=(\"red_share_m\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" aum_drawdown_last=(\"aum_drawdown\", \"last\"),\n",
|
|||
|
|
" aum_drawdown_max=(\"aum_drawdown\", \"max\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" entry_count=(\"entry_event\", \"sum\"),\n",
|
|||
|
|
" full_exit_count=(\"full_exit_event\", \"sum\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" buy_on_perf_rate=(\"buy_on_perf\", \"mean\"),\n",
|
|||
|
|
" sell_on_perf_rate=(\"sell_on_perf\", \"mean\"),\n",
|
|||
|
|
" buy_on_perf_mean3_rate=(\"buy_on_perf_mean3\", \"mean\"),\n",
|
|||
|
|
" sell_on_perf_mean3_rate=(\"sell_on_perf_mean3\", \"mean\"),\n",
|
|||
|
|
" buy_on_perf_mean6_rate=(\"buy_on_perf_mean6\", \"mean\"),\n",
|
|||
|
|
" sell_on_perf_mean6_rate=(\"sell_on_perf_mean6\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" turnover_mean3_avg=(\"turnover_m_mean3\", \"mean\"),\n",
|
|||
|
|
" turnover_mean6_avg=(\"turnover_m_mean6\", \"mean\"),\n",
|
|||
|
|
" turnover_mean12_avg=(\"turnover_m_mean12\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" flow_to_aum_mean3_avg=(\"flow_to_aum_m_mean3\", \"mean\"),\n",
|
|||
|
|
" flow_to_aum_mean6_avg=(\"flow_to_aum_m_mean6\", \"mean\"),\n",
|
|||
|
|
" flow_to_aum_mean12_avg=(\"flow_to_aum_m_mean12\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" family_share_of_client_aum_mean=(\"family_share_of_client_aum\", \"mean\"),\n",
|
|||
|
|
" family_share_of_client_aum_max=(\"family_share_of_client_aum\", \"max\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" ret_fund_m_mean=(\"ret_fund_m\", \"mean\"),\n",
|
|||
|
|
" delta_rate_m_mean=(\"delta_rate_m\", \"mean\"),\n",
|
|||
|
|
"\n",
|
|||
|
|
" region=(\"region\", \"last\"),\n",
|
|||
|
|
" country=(\"country\", \"last\"),\n",
|
|||
|
|
" )\n",
|
|||
|
|
" .merge(months_since_last_tx, on=[ID_COL, \"fund_family\"], how=\"left\")\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"for col in [\n",
|
|||
|
|
" \"net_flow_qty_vol\",\n",
|
|||
|
|
" \"flow_to_aum_vol\",\n",
|
|||
|
|
" \"turnover_vol\",\n",
|
|||
|
|
" \"months_since_last_tx_family\"\n",
|
|||
|
|
"]:\n",
|
|||
|
|
" if col in df_family_client_base.columns:\n",
|
|||
|
|
" df_family_client_base[col] = df_family_client_base[col].fillna(0)\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"df_family_client_base shape:\", df_family_client_base.shape)\n",
|
|||
|
|
"df_family_client_base.head(10)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "ac6b1959",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 5. Part 1 — Top 15 Fund Families\n",
|
|||
|
|
"We restrict the clustering analysis to the 15 largest fund families, measured primarily by total final AUM and client coverage.\n",
|
|||
|
|
"---"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 17,
|
|||
|
|
"id": "9cabda05",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Top 15 families:\n",
|
|||
|
|
"01 - Carmignac Patrimoine\n",
|
|||
|
|
"02 - Carmignac Sécurité\n",
|
|||
|
|
"03 - Carmignac Credit <NUM>\n",
|
|||
|
|
"04 - Carmignac Investissement\n",
|
|||
|
|
"05 - Carmignac Portfolio Sécurité\n",
|
|||
|
|
"06 - Carmignac Portfolio Flexible Bond\n",
|
|||
|
|
"07 - Carmignac Portfolio Credit\n",
|
|||
|
|
"08 - Carmignac Emergents\n",
|
|||
|
|
"09 - Carmignac Court Terme\n",
|
|||
|
|
"10 - Carmignac Portfolio Long-Short European Equities\n",
|
|||
|
|
"11 - Carmignac Portfolio Grande Europe\n",
|
|||
|
|
"12 - Carmignac Portfolio Global Bond\n",
|
|||
|
|
"13 - Carmignac Portfolio Emergents\n",
|
|||
|
|
"14 - Carmignac Portfolio Patrimoine\n",
|
|||
|
|
"15 - Carmignac Portfolio Emerging Patrimoine\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
|
|
"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
|||
|
|
" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>n_clients</th>\n",
|
|||
|
|
" <th>total_family_aum</th>\n",
|
|||
|
|
" <th>avg_family_aum</th>\n",
|
|||
|
|
" <th>total_gross_flow</th>\n",
|
|||
|
|
" <th>total_tx</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>Carmignac Patrimoine</td>\n",
|
|||
|
|
" <td>341</td>\n",
|
|||
|
|
" <td>6.415987e+09</td>\n",
|
|||
|
|
" <td>3.604052e+07</td>\n",
|
|||
|
|
" <td>4.524176e+07</td>\n",
|
|||
|
|
" <td>213046.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>Carmignac Sécurité</td>\n",
|
|||
|
|
" <td>322</td>\n",
|
|||
|
|
" <td>5.282111e+09</td>\n",
|
|||
|
|
" <td>2.309570e+07</td>\n",
|
|||
|
|
" <td>2.832674e+07</td>\n",
|
|||
|
|
" <td>156020.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>Carmignac Credit <NUM></td>\n",
|
|||
|
|
" <td>194</td>\n",
|
|||
|
|
" <td>4.003308e+09</td>\n",
|
|||
|
|
" <td>8.805209e+06</td>\n",
|
|||
|
|
" <td>4.940239e+07</td>\n",
|
|||
|
|
" <td>55630.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>Carmignac Investissement</td>\n",
|
|||
|
|
" <td>321</td>\n",
|
|||
|
|
" <td>3.977901e+09</td>\n",
|
|||
|
|
" <td>1.103948e+07</td>\n",
|
|||
|
|
" <td>5.399207e+06</td>\n",
|
|||
|
|
" <td>103479.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Sécurité</td>\n",
|
|||
|
|
" <td>253</td>\n",
|
|||
|
|
" <td>2.590833e+09</td>\n",
|
|||
|
|
" <td>7.606207e+06</td>\n",
|
|||
|
|
" <td>1.139422e+08</td>\n",
|
|||
|
|
" <td>63976.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>5</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Flexible Bond</td>\n",
|
|||
|
|
" <td>317</td>\n",
|
|||
|
|
" <td>2.438397e+09</td>\n",
|
|||
|
|
" <td>5.677381e+06</td>\n",
|
|||
|
|
" <td>7.345324e+06</td>\n",
|
|||
|
|
" <td>67493.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>6</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Credit</td>\n",
|
|||
|
|
" <td>266</td>\n",
|
|||
|
|
" <td>2.238925e+09</td>\n",
|
|||
|
|
" <td>4.120852e+06</td>\n",
|
|||
|
|
" <td>2.850970e+07</td>\n",
|
|||
|
|
" <td>43262.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>7</th>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>317</td>\n",
|
|||
|
|
" <td>1.049202e+09</td>\n",
|
|||
|
|
" <td>2.728114e+06</td>\n",
|
|||
|
|
" <td>2.646927e+06</td>\n",
|
|||
|
|
" <td>62600.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>8</th>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" <td>207</td>\n",
|
|||
|
|
" <td>1.002651e+09</td>\n",
|
|||
|
|
" <td>2.141392e+06</td>\n",
|
|||
|
|
" <td>9.506942e+05</td>\n",
|
|||
|
|
" <td>28295.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>9</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Long-Short European Equities</td>\n",
|
|||
|
|
" <td>236</td>\n",
|
|||
|
|
" <td>6.875695e+08</td>\n",
|
|||
|
|
" <td>2.336299e+06</td>\n",
|
|||
|
|
" <td>1.743013e+07</td>\n",
|
|||
|
|
" <td>23017.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>10</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Grande Europe</td>\n",
|
|||
|
|
" <td>299</td>\n",
|
|||
|
|
" <td>5.477161e+08</td>\n",
|
|||
|
|
" <td>1.730144e+06</td>\n",
|
|||
|
|
" <td>1.320832e+07</td>\n",
|
|||
|
|
" <td>40485.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>11</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Global Bond</td>\n",
|
|||
|
|
" <td>280</td>\n",
|
|||
|
|
" <td>5.166370e+08</td>\n",
|
|||
|
|
" <td>2.343729e+06</td>\n",
|
|||
|
|
" <td>9.028186e+06</td>\n",
|
|||
|
|
" <td>48365.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>12</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Emergents</td>\n",
|
|||
|
|
" <td>193</td>\n",
|
|||
|
|
" <td>4.760573e+08</td>\n",
|
|||
|
|
" <td>1.521340e+06</td>\n",
|
|||
|
|
" <td>6.876949e+06</td>\n",
|
|||
|
|
" <td>15278.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>13</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Patrimoine</td>\n",
|
|||
|
|
" <td>216</td>\n",
|
|||
|
|
" <td>4.435119e+08</td>\n",
|
|||
|
|
" <td>2.804551e+06</td>\n",
|
|||
|
|
" <td>1.852971e+07</td>\n",
|
|||
|
|
" <td>31854.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>14</th>\n",
|
|||
|
|
" <td>Carmignac Portfolio Emerging Patrimoine</td>\n",
|
|||
|
|
" <td>293</td>\n",
|
|||
|
|
" <td>3.188049e+08</td>\n",
|
|||
|
|
" <td>1.703089e+06</td>\n",
|
|||
|
|
" <td>1.061354e+07</td>\n",
|
|||
|
|
" <td>57784.0</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" fund_family n_clients \\\n",
|
|||
|
|
"0 Carmignac Patrimoine 341 \n",
|
|||
|
|
"1 Carmignac Sécurité 322 \n",
|
|||
|
|
"2 Carmignac Credit <NUM> 194 \n",
|
|||
|
|
"3 Carmignac Investissement 321 \n",
|
|||
|
|
"4 Carmignac Portfolio Sécurité 253 \n",
|
|||
|
|
"5 Carmignac Portfolio Flexible Bond 317 \n",
|
|||
|
|
"6 Carmignac Portfolio Credit 266 \n",
|
|||
|
|
"7 Carmignac Emergents 317 \n",
|
|||
|
|
"8 Carmignac Court Terme 207 \n",
|
|||
|
|
"9 Carmignac Portfolio Long-Short European Equities 236 \n",
|
|||
|
|
"10 Carmignac Portfolio Grande Europe 299 \n",
|
|||
|
|
"11 Carmignac Portfolio Global Bond 280 \n",
|
|||
|
|
"12 Carmignac Portfolio Emergents 193 \n",
|
|||
|
|
"13 Carmignac Portfolio Patrimoine 216 \n",
|
|||
|
|
"14 Carmignac Portfolio Emerging Patrimoine 293 \n",
|
|||
|
|
"\n",
|
|||
|
|
" total_family_aum avg_family_aum total_gross_flow total_tx \n",
|
|||
|
|
"0 6.415987e+09 3.604052e+07 4.524176e+07 213046.0 \n",
|
|||
|
|
"1 5.282111e+09 2.309570e+07 2.832674e+07 156020.0 \n",
|
|||
|
|
"2 4.003308e+09 8.805209e+06 4.940239e+07 55630.0 \n",
|
|||
|
|
"3 3.977901e+09 1.103948e+07 5.399207e+06 103479.0 \n",
|
|||
|
|
"4 2.590833e+09 7.606207e+06 1.139422e+08 63976.0 \n",
|
|||
|
|
"5 2.438397e+09 5.677381e+06 7.345324e+06 67493.0 \n",
|
|||
|
|
"6 2.238925e+09 4.120852e+06 2.850970e+07 43262.0 \n",
|
|||
|
|
"7 1.049202e+09 2.728114e+06 2.646927e+06 62600.0 \n",
|
|||
|
|
"8 1.002651e+09 2.141392e+06 9.506942e+05 28295.0 \n",
|
|||
|
|
"9 6.875695e+08 2.336299e+06 1.743013e+07 23017.0 \n",
|
|||
|
|
"10 5.477161e+08 1.730144e+06 1.320832e+07 40485.0 \n",
|
|||
|
|
"11 5.166370e+08 2.343729e+06 9.028186e+06 48365.0 \n",
|
|||
|
|
"12 4.760573e+08 1.521340e+06 6.876949e+06 15278.0 \n",
|
|||
|
|
"13 4.435119e+08 2.804551e+06 1.852971e+07 31854.0 \n",
|
|||
|
|
"14 3.188049e+08 1.703089e+06 1.061354e+07 57784.0 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 17,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 28 - Table des top families\n",
|
|||
|
|
"\n",
|
|||
|
|
"top_family_table = (\n",
|
|||
|
|
" df_family_client_base\n",
|
|||
|
|
" .groupby(\"fund_family\", as_index=False)\n",
|
|||
|
|
" .agg(\n",
|
|||
|
|
" n_clients=(ID_COL, \"nunique\"),\n",
|
|||
|
|
" total_family_aum=(\"family_aum_val_last\", \"sum\"),\n",
|
|||
|
|
" avg_family_aum=(\"family_aum_val_mean\", \"mean\"),\n",
|
|||
|
|
" total_gross_flow=(\"gross_flow_qty_sum\", \"sum\"),\n",
|
|||
|
|
" total_tx=(\"n_tx_total\", \"sum\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
" .sort_values([\"total_family_aum\", \"n_clients\"], ascending=[False, False])\n",
|
|||
|
|
" .reset_index(drop=True)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"top_15_families = top_family_table.head(15)[\"fund_family\"].tolist()\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Top 15 families:\")\n",
|
|||
|
|
"for i, fam in enumerate(top_15_families, 1):\n",
|
|||
|
|
" print(f\"{i:02d} - {fam}\")\n",
|
|||
|
|
"\n",
|
|||
|
|
"top_family_table.head(15)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 18,
|
|||
|
|
"id": "3be8b56b",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"image/png": "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
|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 1200x600 with 1 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"image/png": "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
|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 1200x600 with 1 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 29 - Visualisation des top 15 families\n",
|
|||
|
|
"\n",
|
|||
|
|
"top15_plot = top_family_table.head(15).copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
"plt.figure(figsize=(12, 6))\n",
|
|||
|
|
"sns.barplot(data=top15_plot, y=\"fund_family\", x=\"total_family_aum\")\n",
|
|||
|
|
"plt.title(\"Top 15 fund families by total AUM\")\n",
|
|||
|
|
"plt.xlabel(\"Total family AUM\")\n",
|
|||
|
|
"plt.ylabel(\"Fund family\")\n",
|
|||
|
|
"plt.tight_layout()\n",
|
|||
|
|
"plt.show()\n",
|
|||
|
|
"\n",
|
|||
|
|
"plt.figure(figsize=(12, 6))\n",
|
|||
|
|
"sns.barplot(data=top15_plot, y=\"fund_family\", x=\"n_clients\")\n",
|
|||
|
|
"plt.title(\"Top 15 fund families by number of clients\")\n",
|
|||
|
|
"plt.xlabel(\"Number of clients\")\n",
|
|||
|
|
"plt.ylabel(\"Fund family\")\n",
|
|||
|
|
"plt.tight_layout()\n",
|
|||
|
|
"plt.show()"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "9b5257a3",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 6. Part 2 — Additional Performance Features for Family Clustering\n",
|
|||
|
|
"We enrich the `client × family` dataset with two types of performance-sensitive variables computed from the monthly family panel:\n",
|
|||
|
|
"\n",
|
|||
|
|
"1. **Correlation between flow intensity and past family performance**, using rolling average returns over 3 and 6 months.\n",
|
|||
|
|
"2. **Buy-after-good-performance shares**, i.e. the proportion of buy months occurring after positive rolling average returns.\n",
|
|||
|
|
"\n",
|
|||
|
|
"These variables extend the original notebook by explicitly measuring momentum-like behavior at fund-family level.\n",
|
|||
|
|
"---"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 19,
|
|||
|
|
"id": "3ae47862",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Performance features merged. Shape: (7282, 53)\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"text/html": [
|
|||
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"<div>\n",
|
|||
|
|
"<style scoped>\n",
|
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" .dataframe tbody tr th:only-of-type {\n",
|
|||
|
|
" vertical-align: middle;\n",
|
|||
|
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" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" .dataframe tbody tr th {\n",
|
|||
|
|
" vertical-align: top;\n",
|
|||
|
|
" }\n",
|
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"\n",
|
|||
|
|
" .dataframe thead th {\n",
|
|||
|
|
" text-align: right;\n",
|
|||
|
|
" }\n",
|
|||
|
|
"</style>\n",
|
|||
|
|
"<table border=\"1\" class=\"dataframe\">\n",
|
|||
|
|
" <thead>\n",
|
|||
|
|
" <tr style=\"text-align: right;\">\n",
|
|||
|
|
" <th></th>\n",
|
|||
|
|
" <th>Registrar Account - ID</th>\n",
|
|||
|
|
" <th>fund_family</th>\n",
|
|||
|
|
" <th>corr_flow_ret_3m</th>\n",
|
|||
|
|
" <th>corr_flow_ret_6m</th>\n",
|
|||
|
|
" <th>buy_after_good_perf_share_3m</th>\n",
|
|||
|
|
" <th>buy_after_good_perf_share_6m</th>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </thead>\n",
|
|||
|
|
" <tbody>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>0</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Absolute Return Europe</td>\n",
|
|||
|
|
" <td>0.051116</td>\n",
|
|||
|
|
" <td>0.031925</td>\n",
|
|||
|
|
" <td>0.666667</td>\n",
|
|||
|
|
" <td>0.666667</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>1</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac China New Economy</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>2</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Court Terme</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>3</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Credit <NUM></td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" <td>0.000000</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" <tr>\n",
|
|||
|
|
" <th>4</th>\n",
|
|||
|
|
" <td>18872</td>\n",
|
|||
|
|
" <td>Carmignac Emergents</td>\n",
|
|||
|
|
" <td>-0.062404</td>\n",
|
|||
|
|
" <td>0.018069</td>\n",
|
|||
|
|
" <td>0.142857</td>\n",
|
|||
|
|
" <td>0.428571</td>\n",
|
|||
|
|
" </tr>\n",
|
|||
|
|
" </tbody>\n",
|
|||
|
|
"</table>\n",
|
|||
|
|
"</div>"
|
|||
|
|
],
|
|||
|
|
"text/plain": [
|
|||
|
|
" Registrar Account - ID fund_family corr_flow_ret_3m \\\n",
|
|||
|
|
"0 18872 Carmignac Absolute Return Europe 0.051116 \n",
|
|||
|
|
"1 18872 Carmignac China New Economy 0.000000 \n",
|
|||
|
|
"2 18872 Carmignac Court Terme 0.000000 \n",
|
|||
|
|
"3 18872 Carmignac Credit <NUM> 0.000000 \n",
|
|||
|
|
"4 18872 Carmignac Emergents -0.062404 \n",
|
|||
|
|
"\n",
|
|||
|
|
" corr_flow_ret_6m buy_after_good_perf_share_3m \\\n",
|
|||
|
|
"0 0.031925 0.666667 \n",
|
|||
|
|
"1 0.000000 0.000000 \n",
|
|||
|
|
"2 0.000000 0.000000 \n",
|
|||
|
|
"3 0.000000 0.000000 \n",
|
|||
|
|
"4 0.018069 0.142857 \n",
|
|||
|
|
"\n",
|
|||
|
|
" buy_after_good_perf_share_6m \n",
|
|||
|
|
"0 0.666667 \n",
|
|||
|
|
"1 0.000000 \n",
|
|||
|
|
"2 0.000000 \n",
|
|||
|
|
"3 0.000000 \n",
|
|||
|
|
"4 0.428571 "
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"execution_count": 19,
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "execute_result"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 30 - Additional performance features for family clustering\n",
|
|||
|
|
"\n",
|
|||
|
|
"def safe_corr(x, y, min_obs=6):\n",
|
|||
|
|
" x = pd.Series(x, dtype=float)\n",
|
|||
|
|
" y = pd.Series(y, dtype=float)\n",
|
|||
|
|
" mask = x.notna() & y.notna()\n",
|
|||
|
|
" x = x[mask]\n",
|
|||
|
|
" y = y[mask]\n",
|
|||
|
|
" if len(x) < min_obs or x.nunique() <= 1 or y.nunique() <= 1:\n",
|
|||
|
|
" return np.nan\n",
|
|||
|
|
" return x.corr(y)\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp_perf = tmp.copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Past family returns already available in tmp:\n",
|
|||
|
|
"# ret_fund_mean3_lag1 and ret_fund_mean6_lag1\n",
|
|||
|
|
"\n",
|
|||
|
|
"tmp_perf[\"buy_flag\"] = (tmp_perf[\"net_flow_qty\"] > 0).astype(int)\n",
|
|||
|
|
"tmp_perf[\"good_perf_3m\"] = (tmp_perf[\"ret_fund_mean3_lag1\"] > 0).astype(int)\n",
|
|||
|
|
"tmp_perf[\"good_perf_6m\"] = (tmp_perf[\"ret_fund_mean6_lag1\"] > 0).astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
"perf_rows = []\n",
|
|||
|
|
"for (acc, fam), g in tmp_perf.groupby([ID_COL, \"fund_family\"]):\n",
|
|||
|
|
" g = g.sort_values(\"month\")\n",
|
|||
|
|
"\n",
|
|||
|
|
" buy_months = g[\"buy_flag\"].sum()\n",
|
|||
|
|
"\n",
|
|||
|
|
" perf_rows.append({\n",
|
|||
|
|
" ID_COL: acc,\n",
|
|||
|
|
" \"fund_family\": fam,\n",
|
|||
|
|
" \"corr_flow_ret_3m\": safe_corr(g[\"flow_to_aum_m\"], g[\"ret_fund_mean3_lag1\"], min_obs=6),\n",
|
|||
|
|
" \"corr_flow_ret_6m\": safe_corr(g[\"flow_to_aum_m\"], g[\"ret_fund_mean6_lag1\"], min_obs=6),\n",
|
|||
|
|
" \"buy_after_good_perf_share_3m\": (\n",
|
|||
|
|
" ((g[\"buy_flag\"] == 1) & (g[\"good_perf_3m\"] == 1)).sum() / buy_months\n",
|
|||
|
|
" if buy_months > 0 else np.nan\n",
|
|||
|
|
" ),\n",
|
|||
|
|
" \"buy_after_good_perf_share_6m\": (\n",
|
|||
|
|
" ((g[\"buy_flag\"] == 1) & (g[\"good_perf_6m\"] == 1)).sum() / buy_months\n",
|
|||
|
|
" if buy_months > 0 else np.nan\n",
|
|||
|
|
" ),\n",
|
|||
|
|
" })\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_perf = pd.DataFrame(perf_rows)\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Merge into final family-level table\n",
|
|||
|
|
"df_family_client_base = df_family_client_base.merge(\n",
|
|||
|
|
" df_family_perf,\n",
|
|||
|
|
" on=[ID_COL, \"fund_family\"],\n",
|
|||
|
|
" how=\"left\"\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"for col in [\"corr_flow_ret_3m\", \"corr_flow_ret_6m\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_3m\", \"buy_after_good_perf_share_6m\"]:\n",
|
|||
|
|
" if col in df_family_client_base.columns:\n",
|
|||
|
|
" df_family_client_base[col] = df_family_client_base[col].fillna(0)\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Performance features merged. Shape:\", df_family_client_base.shape)\n",
|
|||
|
|
"df_family_client_base[\n",
|
|||
|
|
" [ID_COL, \"fund_family\", \"corr_flow_ret_3m\", \"corr_flow_ret_6m\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_3m\", \"buy_after_good_perf_share_6m\"]\n",
|
|||
|
|
"].head()"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "6b781457",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 7. Part 3 — Clustering Features\n",
|
|||
|
|
"To stay close to the original global clustering notebook, we keep a compact set of core behavioral variables:\n",
|
|||
|
|
"- activity frequency\n",
|
|||
|
|
"- gross flow intensity relative to average AUM\n",
|
|||
|
|
"- family concentration/importance\n",
|
|||
|
|
"- exit behavior\n",
|
|||
|
|
"- flow direction balance\n",
|
|||
|
|
"- recency of activity\n",
|
|||
|
|
"\n",
|
|||
|
|
"We then add the new **performance-sensitive features** and the **rolling turnover averages**, which are central to the family-fund approach.\n",
|
|||
|
|
"---"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 20,
|
|||
|
|
"id": "2d120f23",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"Number of clustering features: 15\n",
|
|||
|
|
"['flow_freq', 'gross_flow_to_aum_family', 'avg_n_isin_held', 'exit_rate_per_isin_family', 'flow_direction_balance', 'log_family_aum_val_mean', 'months_since_last_tx_family', 'family_share_of_client_aum_mean', 'turnover_mean3_avg', 'turnover_mean6_avg', 'turnover_mean12_avg', 'corr_flow_ret_3m', 'corr_flow_ret_6m', 'buy_after_good_perf_share_3m', 'buy_after_good_perf_share_6m']\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 31 - Final clustering features\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Derived ratios closer to the initial notebook\n",
|
|||
|
|
"df_family_client_base[\"log_family_aum_val_mean\"] = np.log1p(\n",
|
|||
|
|
" df_family_client_base[\"family_aum_val_mean\"].clip(lower=0)\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base[\"gross_flow_to_aum_family\"] = np.where(\n",
|
|||
|
|
" df_family_client_base[\"family_aum_qty_mean\"].abs() > 1,\n",
|
|||
|
|
" df_family_client_base[\"gross_flow_qty_sum\"] / df_family_client_base[\"family_aum_qty_mean\"].abs(),\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base[\"flow_direction_balance\"] = np.where(\n",
|
|||
|
|
" df_family_client_base[\"gross_flow_qty_sum\"] > 0,\n",
|
|||
|
|
" df_family_client_base[\"net_flow_qty_sum\"] / df_family_client_base[\"gross_flow_qty_sum\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base[\"exit_rate_per_isin_family\"] = np.where(\n",
|
|||
|
|
" df_family_client_base[\"avg_n_isin_held\"] > 0,\n",
|
|||
|
|
" df_family_client_base[\"full_exit_count\"] / df_family_client_base[\"avg_n_isin_held\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base[\"family_aum_final_to_peak\"] = np.where(\n",
|
|||
|
|
" df_family_client_base[\"family_aum_qty_max\"] > 0,\n",
|
|||
|
|
" df_family_client_base[\"family_aum_qty_last\"] / df_family_client_base[\"family_aum_qty_max\"],\n",
|
|||
|
|
" np.nan\n",
|
|||
|
|
")\n",
|
|||
|
|
"\n",
|
|||
|
|
"df_family_client_base[\"aum_drawdown_last\"] = df_family_client_base[\"aum_drawdown_last\"].clip(0, 1)\n",
|
|||
|
|
"df_family_client_base[\"family_aum_final_to_peak\"] = df_family_client_base[\"family_aum_final_to_peak\"].clip(0, 1)\n",
|
|||
|
|
"\n",
|
|||
|
|
"# Compact but rich feature list\n",
|
|||
|
|
"family_cluster_features = [\n",
|
|||
|
|
" \"flow_freq\",\n",
|
|||
|
|
" \"gross_flow_to_aum_family\",\n",
|
|||
|
|
" \"avg_n_isin_held\",\n",
|
|||
|
|
" \"exit_rate_per_isin_family\",\n",
|
|||
|
|
" \"flow_direction_balance\",\n",
|
|||
|
|
" \"log_family_aum_val_mean\",\n",
|
|||
|
|
" \"months_since_last_tx_family\",\n",
|
|||
|
|
" \"family_share_of_client_aum_mean\",\n",
|
|||
|
|
" \"turnover_mean3_avg\",\n",
|
|||
|
|
" \"turnover_mean6_avg\",\n",
|
|||
|
|
" \"turnover_mean12_avg\",\n",
|
|||
|
|
" \"corr_flow_ret_3m\",\n",
|
|||
|
|
" \"corr_flow_ret_6m\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_3m\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_6m\",\n",
|
|||
|
|
"]\n",
|
|||
|
|
"\n",
|
|||
|
|
"print(\"Number of clustering features:\", len(family_cluster_features))\n",
|
|||
|
|
"print(family_cluster_features)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "e455f9cf",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"---\n",
|
|||
|
|
"## 8. Part 4 — Robust Clustering Utilities\n",
|
|||
|
|
"Compared with the first family notebook version, the functions below:\n",
|
|||
|
|
"- apply **stronger filtering of outliers**\n",
|
|||
|
|
"- winsorize a broader set of variables\n",
|
|||
|
|
"- reject values of `K` that create **tiny clusters**\n",
|
|||
|
|
"- therefore avoid the pathological case “one giant cluster + one or two clients alone”\n",
|
|||
|
|
"---"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 21,
|
|||
|
|
"id": "8b43106b",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"# 32 - Robust clustering helpers\n",
|
|||
|
|
"\n",
|
|||
|
|
"from sklearn.decomposition import PCA\n",
|
|||
|
|
"from sklearn.impute import SimpleImputer\n",
|
|||
|
|
"\n",
|
|||
|
|
"def prepare_family_matrix(df_family, features, winsorize_cols=None):\n",
|
|||
|
|
" X = df_family[features].copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Median imputation\n",
|
|||
|
|
" imputer = SimpleImputer(strategy=\"median\")\n",
|
|||
|
|
" X_imp = pd.DataFrame(imputer.fit_transform(X), columns=features, index=X.index)\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Broad winsorization, inspired by the original notebook\n",
|
|||
|
|
" if winsorize_cols is None:\n",
|
|||
|
|
" winsorize_cols = [\n",
|
|||
|
|
" \"gross_flow_to_aum_family\",\n",
|
|||
|
|
" \"avg_n_isin_held\",\n",
|
|||
|
|
" \"exit_rate_per_isin_family\",\n",
|
|||
|
|
" \"months_since_last_tx_family\",\n",
|
|||
|
|
" \"family_share_of_client_aum_mean\",\n",
|
|||
|
|
" \"turnover_mean3_avg\",\n",
|
|||
|
|
" \"turnover_mean6_avg\",\n",
|
|||
|
|
" \"turnover_mean12_avg\",\n",
|
|||
|
|
" ]\n",
|
|||
|
|
"\n",
|
|||
|
|
" for col in winsorize_cols:\n",
|
|||
|
|
" if col in X_imp.columns:\n",
|
|||
|
|
" X_imp[col] = winsorize_mad(X_imp[col], n_sigma=3)\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Variables bounded by construction\n",
|
|||
|
|
" for col in [\n",
|
|||
|
|
" \"flow_freq\",\n",
|
|||
|
|
" \"family_share_of_client_aum_mean\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_3m\",\n",
|
|||
|
|
" \"buy_after_good_perf_share_6m\",\n",
|
|||
|
|
" \"family_aum_final_to_peak\"\n",
|
|||
|
|
" ]:\n",
|
|||
|
|
" if col in X_imp.columns:\n",
|
|||
|
|
" X_imp[col] = np.clip(X_imp[col], 0, 1)\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Correlations should live in [-1, 1]\n",
|
|||
|
|
" for col in [\"corr_flow_ret_3m\", \"corr_flow_ret_6m\", \"flow_direction_balance\"]:\n",
|
|||
|
|
" if col in X_imp.columns:\n",
|
|||
|
|
" X_imp[col] = np.clip(X_imp[col], -1, 1)\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Same logic as in the original notebook:\n",
|
|||
|
|
" # clip and log-transform gross flow intensity\n",
|
|||
|
|
" if \"gross_flow_to_aum_family\" in X_imp.columns:\n",
|
|||
|
|
" vals = X_imp[\"gross_flow_to_aum_family\"].to_numpy(dtype=float)\n",
|
|||
|
|
" vals = np.clip(vals, 0, np.nanpercentile(vals, 90))\n",
|
|||
|
|
" X_imp[\"gross_flow_to_aum_family\"] = np.log1p(vals)\n",
|
|||
|
|
"\n",
|
|||
|
|
" scaler = RobustScaler()\n",
|
|||
|
|
" X_scaled = scaler.fit_transform(X_imp)\n",
|
|||
|
|
"\n",
|
|||
|
|
" return X_imp, X_scaled, imputer, scaler\n",
|
|||
|
|
"\n",
|
|||
|
|
"\n",
|
|||
|
|
"def evaluate_k_range(X_scaled, k_min=2, k_max=6, min_cluster_size=10, min_cluster_share=0.02, random_state=42):\n",
|
|||
|
|
" n = X_scaled.shape[0]\n",
|
|||
|
|
" k_max = min(k_max, max(2, n - 1))\n",
|
|||
|
|
"\n",
|
|||
|
|
" rows = []\n",
|
|||
|
|
" for k in range(k_min, k_max + 1):\n",
|
|||
|
|
" if k >= n:\n",
|
|||
|
|
" continue\n",
|
|||
|
|
"\n",
|
|||
|
|
" km = KMeans(n_clusters=k, random_state=random_state, n_init=20)\n",
|
|||
|
|
" labels = km.fit_predict(X_scaled)\n",
|
|||
|
|
"\n",
|
|||
|
|
" cluster_sizes = pd.Series(labels).value_counts().sort_index()\n",
|
|||
|
|
" min_size = int(cluster_sizes.min())\n",
|
|||
|
|
" min_size_required = max(min_cluster_size, int(np.ceil(min_cluster_share * n)))\n",
|
|||
|
|
"\n",
|
|||
|
|
" valid = (min_size >= min_size_required)\n",
|
|||
|
|
"\n",
|
|||
|
|
" if valid:\n",
|
|||
|
|
" sil = silhouette_score(X_scaled, labels)\n",
|
|||
|
|
" dbi = davies_bouldin_score(X_scaled, labels)\n",
|
|||
|
|
" else:\n",
|
|||
|
|
" sil = np.nan\n",
|
|||
|
|
" dbi = np.nan\n",
|
|||
|
|
"\n",
|
|||
|
|
" rows.append({\n",
|
|||
|
|
" \"k\": k,\n",
|
|||
|
|
" \"silhouette\": sil,\n",
|
|||
|
|
" \"davies_bouldin\": dbi,\n",
|
|||
|
|
" \"min_cluster_size\": min_size,\n",
|
|||
|
|
" \"min_cluster_required\": min_size_required,\n",
|
|||
|
|
" \"inertia\": km.inertia_,\n",
|
|||
|
|
" \"valid_k\": valid\n",
|
|||
|
|
" })\n",
|
|||
|
|
"\n",
|
|||
|
|
" return pd.DataFrame(rows)\n",
|
|||
|
|
"\n",
|
|||
|
|
"\n",
|
|||
|
|
"def choose_best_k(metrics_df):\n",
|
|||
|
|
" valid = metrics_df[metrics_df[\"valid_k\"]].dropna(subset=[\"silhouette\"]).copy()\n",
|
|||
|
|
" if len(valid) == 0:\n",
|
|||
|
|
" return None\n",
|
|||
|
|
" return int(valid.sort_values([\"silhouette\", \"davies_bouldin\"], ascending=[False, True]).iloc[0][\"k\"])"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 22,
|
|||
|
|
"id": "ceb97cfd",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"# 33 - Family clustering pipeline\n",
|
|||
|
|
"\n",
|
|||
|
|
"def run_family_clustering(\n",
|
|||
|
|
" df_base,\n",
|
|||
|
|
" family_name,\n",
|
|||
|
|
" features,\n",
|
|||
|
|
" k_min=2,\n",
|
|||
|
|
" k_max=6,\n",
|
|||
|
|
" min_clients=40,\n",
|
|||
|
|
" min_cluster_size=10,\n",
|
|||
|
|
" min_cluster_share=0.02,\n",
|
|||
|
|
" random_state=42,\n",
|
|||
|
|
" make_plots=True\n",
|
|||
|
|
"):\n",
|
|||
|
|
" df_family = df_base[df_base[\"fund_family\"] == family_name].copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Quality filters\n",
|
|||
|
|
" df_family = df_family[\n",
|
|||
|
|
" (df_family[\"n_months\"] >= 6) &\n",
|
|||
|
|
" (df_family[\"family_aum_val_mean\"] > 0)\n",
|
|||
|
|
" ].copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Stronger quantile filtering, inspired by the initial notebook\n",
|
|||
|
|
" for col in [\"family_aum_val_mean\", \"gross_flow_qty_sum\", \"n_tx_total\"]:\n",
|
|||
|
|
" if col in df_family.columns and df_family[col].notna().sum() > 0:\n",
|
|||
|
|
" cap = df_family[col].quantile(0.99)\n",
|
|||
|
|
" df_family = df_family[df_family[col] <= cap].copy()\n",
|
|||
|
|
"\n",
|
|||
|
|
" n_clients = df_family[ID_COL].nunique()\n",
|
|||
|
|
" if n_clients < min_clients:\n",
|
|||
|
|
" print(f\"[SKIP] {family_name}: only {n_clients} usable clients.\")\n",
|
|||
|
|
" return None\n",
|
|||
|
|
"\n",
|
|||
|
|
" X_imp, X_scaled, imputer, scaler = prepare_family_matrix(df_family, features)\n",
|
|||
|
|
"\n",
|
|||
|
|
" metrics_df = evaluate_k_range(\n",
|
|||
|
|
" X_scaled,\n",
|
|||
|
|
" k_min=k_min,\n",
|
|||
|
|
" k_max=k_max,\n",
|
|||
|
|
" min_cluster_size=min_cluster_size,\n",
|
|||
|
|
" min_cluster_share=min_cluster_share,\n",
|
|||
|
|
" random_state=random_state\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" if len(metrics_df) == 0:\n",
|
|||
|
|
" print(f\"[SKIP] {family_name}: no K evaluated.\")\n",
|
|||
|
|
" return None\n",
|
|||
|
|
"\n",
|
|||
|
|
" best_k = choose_best_k(metrics_df)\n",
|
|||
|
|
" if best_k is None:\n",
|
|||
|
|
" print(f\"[SKIP] {family_name}: no valid K with cluster size constraints.\")\n",
|
|||
|
|
" return None\n",
|
|||
|
|
"\n",
|
|||
|
|
" km = KMeans(n_clusters=best_k, random_state=random_state, n_init=30)\n",
|
|||
|
|
" labels = km.fit_predict(X_scaled)\n",
|
|||
|
|
"\n",
|
|||
|
|
" df_family[\"cluster\"] = labels\n",
|
|||
|
|
"\n",
|
|||
|
|
" cluster_sizes = (\n",
|
|||
|
|
" df_family[\"cluster\"]\n",
|
|||
|
|
" .value_counts()\n",
|
|||
|
|
" .sort_index()\n",
|
|||
|
|
" .rename_axis(\"cluster\")\n",
|
|||
|
|
" .reset_index(name=\"n_clients\")\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" cluster_profile = (\n",
|
|||
|
|
" df_family.groupby(\"cluster\")[features]\n",
|
|||
|
|
" .median()\n",
|
|||
|
|
" .sort_index()\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Churn proxies at family level\n",
|
|||
|
|
" df_family[\"churn_hard\"] = (df_family[\"family_aum_final_to_peak\"] < 0.10).astype(int)\n",
|
|||
|
|
" df_family[\"churn_soft\"] = (\n",
|
|||
|
|
" (df_family[\"family_aum_final_to_peak\"] < 0.40) &\n",
|
|||
|
|
" (df_family[\"aum_drawdown_last\"] > 0.40)\n",
|
|||
|
|
" ).astype(int)\n",
|
|||
|
|
" df_family[\"churn_warning\"] = (\n",
|
|||
|
|
" (df_family[\"flow_direction_balance\"] < 0) &\n",
|
|||
|
|
" (df_family[\"aum_drawdown_last\"] > 0.20)\n",
|
|||
|
|
" ).astype(int)\n",
|
|||
|
|
"\n",
|
|||
|
|
" churn_profile = (\n",
|
|||
|
|
" df_family.groupby(\"cluster\")[[\"churn_hard\", \"churn_soft\", \"churn_warning\"]]\n",
|
|||
|
|
" .mean()\n",
|
|||
|
|
" .sort_index()\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" # PCA for visualization\n",
|
|||
|
|
" pca = PCA(n_components=2, random_state=random_state)\n",
|
|||
|
|
" coords = pca.fit_transform(X_scaled)\n",
|
|||
|
|
" df_family[\"pca1\"] = coords[:, 0]\n",
|
|||
|
|
" df_family[\"pca2\"] = coords[:, 1]\n",
|
|||
|
|
"\n",
|
|||
|
|
" result = {\n",
|
|||
|
|
" \"family\": family_name,\n",
|
|||
|
|
" \"n_clients\": n_clients,\n",
|
|||
|
|
" \"best_k\": best_k,\n",
|
|||
|
|
" \"metrics_df\": metrics_df,\n",
|
|||
|
|
" \"df_family\": df_family,\n",
|
|||
|
|
" \"cluster_profile\": cluster_profile,\n",
|
|||
|
|
" \"cluster_sizes\": cluster_sizes,\n",
|
|||
|
|
" \"churn_profile\": churn_profile,\n",
|
|||
|
|
" \"features\": features,\n",
|
|||
|
|
" \"pca_explained_var\": pca.explained_variance_ratio_,\n",
|
|||
|
|
" }\n",
|
|||
|
|
"\n",
|
|||
|
|
" if make_plots:\n",
|
|||
|
|
" # Choice of K\n",
|
|||
|
|
" fig, axes = plt.subplots(1, 3, figsize=(15, 4))\n",
|
|||
|
|
" axes[0].plot(metrics_df[\"k\"], metrics_df[\"silhouette\"], marker=\"o\")\n",
|
|||
|
|
" axes[0].set_title(f\"{family_name} - Silhouette\")\n",
|
|||
|
|
" axes[0].set_xlabel(\"k\")\n",
|
|||
|
|
"\n",
|
|||
|
|
" axes[1].plot(metrics_df[\"k\"], metrics_df[\"davies_bouldin\"], marker=\"o\")\n",
|
|||
|
|
" axes[1].set_title(f\"{family_name} - Davies-Bouldin\")\n",
|
|||
|
|
" axes[1].set_xlabel(\"k\")\n",
|
|||
|
|
"\n",
|
|||
|
|
" axes[2].plot(metrics_df[\"k\"], metrics_df[\"inertia\"], marker=\"o\")\n",
|
|||
|
|
" axes[2].set_title(f\"{family_name} - Inertia\")\n",
|
|||
|
|
" axes[2].set_xlabel(\"k\")\n",
|
|||
|
|
" plt.tight_layout()\n",
|
|||
|
|
" plt.show()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Cluster signatures\n",
|
|||
|
|
" plot_heatmap(\n",
|
|||
|
|
" df_family,\n",
|
|||
|
|
" profile_vars=features,\n",
|
|||
|
|
" cluster_col=\"cluster\",\n",
|
|||
|
|
" title=f\"{family_name} - Cluster signatures\",\n",
|
|||
|
|
" figsize=(18, 5)\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" # PCA projection\n",
|
|||
|
|
" plt.figure(figsize=(7, 5))\n",
|
|||
|
|
" sns.scatterplot(\n",
|
|||
|
|
" data=df_family,\n",
|
|||
|
|
" x=\"pca1\", y=\"pca2\",\n",
|
|||
|
|
" hue=\"cluster\",\n",
|
|||
|
|
" palette=\"tab10\",\n",
|
|||
|
|
" alpha=0.8\n",
|
|||
|
|
" )\n",
|
|||
|
|
" plt.title(\n",
|
|||
|
|
" f\"{family_name} - PCA projection \"\n",
|
|||
|
|
" f\"(explained var: {result['pca_explained_var'][0]:.2f}, {result['pca_explained_var'][1]:.2f})\"\n",
|
|||
|
|
" )\n",
|
|||
|
|
" plt.tight_layout()\n",
|
|||
|
|
" plt.show()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Cluster sizes\n",
|
|||
|
|
" plt.figure(figsize=(6, 4))\n",
|
|||
|
|
" sns.barplot(data=cluster_sizes, x=\"cluster\", y=\"n_clients\")\n",
|
|||
|
|
" plt.title(f\"{family_name} - Cluster sizes\")\n",
|
|||
|
|
" plt.tight_layout()\n",
|
|||
|
|
" plt.show()\n",
|
|||
|
|
"\n",
|
|||
|
|
" # Churn by cluster\n",
|
|||
|
|
" churn_long = churn_profile.reset_index().melt(\n",
|
|||
|
|
" id_vars=\"cluster\",\n",
|
|||
|
|
" value_vars=[\"churn_hard\", \"churn_soft\", \"churn_warning\"],\n",
|
|||
|
|
" var_name=\"churn_type\",\n",
|
|||
|
|
" value_name=\"rate\"\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" plt.figure(figsize=(8, 4))\n",
|
|||
|
|
" sns.barplot(data=churn_long, x=\"cluster\", y=\"rate\", hue=\"churn_type\")\n",
|
|||
|
|
" plt.title(f\"{family_name} - Churn analysis by cluster\")\n",
|
|||
|
|
" plt.ylabel(\"Rate\")\n",
|
|||
|
|
" plt.tight_layout()\n",
|
|||
|
|
" plt.show()\n",
|
|||
|
|
"\n",
|
|||
|
|
" print(f\"\\n=== {family_name} ===\")\n",
|
|||
|
|
" print(f\"Clients after filtering: {n_clients}\")\n",
|
|||
|
|
" print(f\"Chosen K: {best_k}\")\n",
|
|||
|
|
" print(cluster_sizes)\n",
|
|||
|
|
" print(\"\\nChurn profile:\")\n",
|
|||
|
|
" print(churn_profile.round(3))\n",
|
|||
|
|
"\n",
|
|||
|
|
" return result"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 23,
|
|||
|
|
"id": "b1161a03",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
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|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 1500x400 with 3 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
},
|
|||
|
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{
|
|||
|
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"data": {
|
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"image/png": "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
|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 1800x500 with 2 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
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|
|
"text/plain": [
|
|||
|
|
"<Figure size 700x500 with 1 Axes>"
|
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|
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]
|
|||
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|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
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|
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},
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{
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"data": {
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"image/png": "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
|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 600x400 with 1 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"image/png": "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
|
|||
|
|
"text/plain": [
|
|||
|
|
"<Figure size 800x400 with 1 Axes>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"\n",
|
|||
|
|
"=== Carmignac Patrimoine ===\n",
|
|||
|
|
"Clients after filtering: 319\n",
|
|||
|
|
"Chosen K: 6\n",
|
|||
|
|
" cluster n_clients\n",
|
|||
|
|
"0 0 62\n",
|
|||
|
|
"1 1 16\n",
|
|||
|
|
"2 2 158\n",
|
|||
|
|
"3 3 20\n",
|
|||
|
|
"4 4 41\n",
|
|||
|
|
"5 5 22\n",
|
|||
|
|
"\n",
|
|||
|
|
"Churn profile:\n",
|
|||
|
|
" churn_hard churn_soft churn_warning\n",
|
|||
|
|
"cluster \n",
|
|||
|
|
"0 0.242 0.823 0.903\n",
|
|||
|
|
"1 0.750 0.938 0.938\n",
|
|||
|
|
"2 0.342 0.671 0.665\n",
|
|||
|
|
"3 0.900 1.000 0.850\n",
|
|||
|
|
"4 0.293 0.561 0.659\n",
|
|||
|
|
"5 0.682 0.909 0.818\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 34 - Test on one family\n",
|
|||
|
|
"\n",
|
|||
|
|
"test_family = top_15_families[0]\n",
|
|||
|
|
"result_test = run_family_clustering(\n",
|
|||
|
|
" df_base=df_family_client_base,\n",
|
|||
|
|
" family_name=test_family,\n",
|
|||
|
|
" features=family_cluster_features,\n",
|
|||
|
|
" k_min=4,\n",
|
|||
|
|
" k_max=10,\n",
|
|||
|
|
" min_clients=40,\n",
|
|||
|
|
" min_cluster_size=10,\n",
|
|||
|
|
" min_cluster_share=0.02,\n",
|
|||
|
|
" random_state=RANDOM_STATE,\n",
|
|||
|
|
" make_plots=True\n",
|
|||
|
|
")"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"id": "e339c5fb",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Patrimoine\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Sécurité\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Credit <NUM>\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Investissement\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Portfolio Sécurité\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Portfolio Flexible Bond\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Portfolio Credit\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Emergents\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Court Terme\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Portfolio Long-Short European Equities\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"[SKIP] Carmignac Portfolio Long-Short European Equities: no valid K with cluster size constraints.\n",
|
|||
|
|
"\n",
|
|||
|
|
"==========================================================================================\n",
|
|||
|
|
"Running clustering for family: Carmignac Portfolio Grande Europe\n",
|
|||
|
|
"==========================================================================================\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 35 - Run clustering on the top 15 fund families\n",
|
|||
|
|
"\n",
|
|||
|
|
"family_results = {}\n",
|
|||
|
|
"family_summary_rows = []\n",
|
|||
|
|
"\n",
|
|||
|
|
"for fam in top_15_families:\n",
|
|||
|
|
" print(\"\\n\" + \"=\" * 90)\n",
|
|||
|
|
" print(f\"Running clustering for family: {fam}\")\n",
|
|||
|
|
" print(\"=\" * 90)\n",
|
|||
|
|
"\n",
|
|||
|
|
" res = run_family_clustering(\n",
|
|||
|
|
" df_base=df_family_client_base,\n",
|
|||
|
|
" family_name=fam,\n",
|
|||
|
|
" features=family_cluster_features,\n",
|
|||
|
|
" k_min=4,\n",
|
|||
|
|
" k_max=10,\n",
|
|||
|
|
" min_clients=40,\n",
|
|||
|
|
" min_cluster_size=10,\n",
|
|||
|
|
" min_cluster_share=0.02,\n",
|
|||
|
|
" random_state=RANDOM_STATE,\n",
|
|||
|
|
" make_plots=False\n",
|
|||
|
|
" )\n",
|
|||
|
|
"\n",
|
|||
|
|
" if res is not None:\n",
|
|||
|
|
" family_results[fam] = res\n",
|
|||
|
|
" best_row = res[\"metrics_df\"].loc[res[\"metrics_df\"][\"k\"] == res[\"best_k\"]].iloc[0]\n",
|
|||
|
|
"\n",
|
|||
|
|
" family_summary_rows.append({\n",
|
|||
|
|
" \"fund_family\": fam,\n",
|
|||
|
|
" \"n_clients\": res[\"n_clients\"],\n",
|
|||
|
|
" \"best_k\": res[\"best_k\"],\n",
|
|||
|
|
" \"silhouette\": best_row[\"silhouette\"],\n",
|
|||
|
|
" \"davies_bouldin\": best_row[\"davies_bouldin\"],\n",
|
|||
|
|
" \"min_cluster_size\": int(best_row[\"min_cluster_size\"]),\n",
|
|||
|
|
" })\n",
|
|||
|
|
"\n",
|
|||
|
|
"family_summary = pd.DataFrame(family_summary_rows).sort_values(\n",
|
|||
|
|
" [\"silhouette\", \"n_clients\"],\n",
|
|||
|
|
" ascending=[False, False]\n",
|
|||
|
|
").reset_index(drop=True)\n",
|
|||
|
|
"\n",
|
|||
|
|
"family_summary"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"id": "f5c7e517",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"# 36 - Visual and business review for one selected family\n",
|
|||
|
|
"\n",
|
|||
|
|
"selected_family = top_15_families[0]\n",
|
|||
|
|
"if selected_family in family_results:\n",
|
|||
|
|
" _ = run_family_clustering(\n",
|
|||
|
|
" df_base=df_family_client_base,\n",
|
|||
|
|
" family_name=selected_family,\n",
|
|||
|
|
" features=family_cluster_features,\n",
|
|||
|
|
" k_min=4,\n",
|
|||
|
|
" k_max=10,\n",
|
|||
|
|
" min_clients=40,\n",
|
|||
|
|
" min_cluster_size=10,\n",
|
|||
|
|
" min_cluster_share=0.02,\n",
|
|||
|
|
" random_state=RANDOM_STATE,\n",
|
|||
|
|
" make_plots=True\n",
|
|||
|
|
" )"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"id": "4ba643a5",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"# 37 - Summary table of clustering results across families\n",
|
|||
|
|
"\n",
|
|||
|
|
"family_summary"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"id": "67c30d96",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"# # 38 - Optional exports\n",
|
|||
|
|
"\n",
|
|||
|
|
"# family_summary.to_csv(\"family_clustering_summary.csv\", index=False)\n",
|
|||
|
|
"\n",
|
|||
|
|
"# for fam, res in family_results.items():\n",
|
|||
|
|
"# safe_name = re.sub(r\"[^A-Za-z0-9_]+\", \"_\", fam)\n",
|
|||
|
|
"# res[\"df_family\"].to_csv(f\"clustered_family_{safe_name}.csv\", index=False)\n",
|
|||
|
|
"# res[\"cluster_profile\"].to_csv(f\"cluster_profile_{safe_name}.csv\")\n",
|
|||
|
|
"# res[\"churn_profile\"].to_csv(f\"churn_profile_{safe_name}.csv\")"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "markdown",
|
|||
|
|
"id": "ccc09ae0",
|
|||
|
|
"metadata": {},
|
|||
|
|
"source": [
|
|||
|
|
"### Notes for interpretation\n",
|
|||
|
|
"For each family, the clustering combines:\n",
|
|||
|
|
"- **activity** (`flow_freq`)\n",
|
|||
|
|
"- **intensity** (`gross_flow_to_aum_family`, rolling turnover features)\n",
|
|||
|
|
"- **allocation importance** (`family_share_of_client_aum_mean`)\n",
|
|||
|
|
"- **recency and exit behavior** (`months_since_last_tx_family`, `exit_rate_per_isin_family`)\n",
|
|||
|
|
"- **performance sensitivity** (`corr_flow_ret_3m`, `corr_flow_ret_6m`, buy-after-good-performance shares)\n",
|
|||
|
|
"- **churn proxy** (analyzed after clustering)\n",
|
|||
|
|
"\n",
|
|||
|
|
"This is the family-level analogue of the original global clustering notebook, but adapted to the finer and more sparse `client × family` structure."
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"id": "ca108af5-69fe-4ae6-bf6e-088c6e7b0fcb",
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": []
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"metadata": {
|
|||
|
|
"kernelspec": {
|
|||
|
|
"display_name": "Python 3 (ipykernel)",
|
|||
|
|
"language": "python",
|
|||
|
|
"name": "python3"
|
|||
|
|
},
|
|||
|
|
"language_info": {
|
|||
|
|
"codemirror_mode": {
|
|||
|
|
"name": "ipython",
|
|||
|
|
"version": 3
|
|||
|
|
},
|
|||
|
|
"file_extension": ".py",
|
|||
|
|
"mimetype": "text/x-python",
|
|||
|
|
"name": "python",
|
|||
|
|
"nbconvert_exporter": "python",
|
|||
|
|
"pygments_lexer": "ipython3",
|
|||
|
|
"version": "3.13.12"
|
|||
|
|
}
|
|||
|
|
},
|
|||
|
|
"nbformat": 4,
|
|||
|
|
"nbformat_minor": 5
|
|||
|
|
}
|