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Can investors benefit from the performance of alternative UCITS funds?

Author

Listed:
  • Michael Busack

    (Absolut Research GmbH)

  • Wolfgang Drobetz

    (Hamburg University)

  • Jan Tille

    () (Absolut Research GmbH)

Abstract

We study the performance persistence of alternative UCITS funds, which are a hybrid between mutual funds and hedge funds. Persistence is gauged by alternative measures of performance and risk. Based on contingency tables, we find that performance persists for up to 2 years following ranking. However, persistence is stronger in the short run, and ranked portfolio tests indicate that investors can benefit from persistence for only up to 1 year. The evidence for persistence in risk is ambiguous. We link fund characteristics to performance persistence and find that offshore hedge fund experience enhances persistence. Our results are robust against survivorship bias and other potential database biases.

Suggested Citation

  • Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
  • Handle: RePEc:kap:fmktpm:v:31:y:2017:i:1:d:10.1007_s11408-016-0283-7
    DOI: 10.1007/s11408-016-0283-7
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Alternative mutual funds; UCITS funds; Hedge funds; Performance measurement; Performance persistence;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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