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Publication Can investors benefit from the performance of alternative UCITS?

Type

Refereed Article

Year

2017

Author(s)

Michael Busack

Wolfgang Drobetz

Jan Tille

Journal

Financial Markets and Portfolio Management

Volume

31

Pages

69-111

Research Area

Alternative Investments, Asset Management

Keywords

Alternative mutual funds, UCITS funds, hedge funds, performance measurement, performance persistence

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.

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