I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds).
Some of my ideas at current:
-I have access to a Value and Growth Index so could perhaps try segregate funds into value/momentum/growth groups by looking at their betas to these indices. Could also do the same to estimate the funds' exposures to certain sectors: Large Cap, Mid Cap, Small Cap; Resources, Financials, Industrials; etc.
-regression on index to see which funds are closet benchmark trackers (or look at tracking error)
-maybe PCA on the equity fund universe to see which funds are more dissimilar to universe...
I am really just looking for several ways of analysing the funds and try to get some groupings or measures of similarity between the funds. Any pointers of what to read up on or suggestions would be appreciated
PS: I would be using R for this work so if there are any R-specific libraries to look at then please notify