EconPapers    
Economics at your fingertips  
 

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

Silvio Camilleri () and Ritienne Farrugia

MPRA Paper from University Library of Munich, Germany

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.

Keywords: AIFs; collective investment funds; performance evaluation; performance persistence; Sharpe ratio; Treynor ratio; UCITS; value-at-risk (search for similar items in EconPapers)
JEL-codes: G11 G17 G23 (search for similar items in EconPapers)
Date: 2018-05
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in International Journal of Economics and Finance 10.7(2018): pp. 23-37

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/87070/7/MPRA_paper_87070.pdf original version (application/pdf)

Related works:
Journal Article: The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:87070

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:87070