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The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

Author

Listed:
  • Camilleri, Silvio John
  • Farrugia, Ritienne

Abstract

This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by different regulatory frameworks, which have evolved and re-shaped over the years. Various yardsticks are employed to evaluate the risk-adjusted performance of the sampled funds, and Monte-Carlo simulations are used to gauge the possible out-of-sample returns. Most of the sampled funds underperformed the benchmark index in terms of their Sharpe and Treynor ratios. Whilst UCITS registered a better overall performance, AIFs outperformed UCITS towards the end of the sample period. This suggests that investors should not assume that one fund structure is inherently superior to the other, since the relative performance may vary over time.

Suggested Citation

  • Camilleri, Silvio John & Farrugia, Ritienne, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," MPRA Paper 87070, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:87070
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    File URL: https://mpra.ub.uni-muenchen.de/87070/7/MPRA_paper_87070.pdf
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    More about this item

    Keywords

    AIFs; collective investment funds; performance evaluation; performance persistence; Sharpe ratio; Treynor ratio; UCITS; value-at-risk;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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