Can investors benefit from the performance of alternative UCITS funds?

Michael Busack, Wolfgang Drobetz and Jan Tille ()
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Michael Busack: Absolut Research GmbH
Jan Tille: Absolut Research GmbH

Financial Markets and Portfolio Management, 2017, vol. 31, issue 1, No 4, 69-111

Abstract: 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.

Keywords: Alternative mutual funds; UCITS funds; Hedge funds; Performance measurement; Performance persistence (search for similar items in EconPapers)
JEL-codes: G11 G14 G23 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s11408-016-0283-7

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