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

International Journal of Economics and Finance, 10(7), 23-37.

15 Pages Posted: 14 Jun 2018

See all articles by Silvio John Camilleri

Silvio John Camilleri

University of Malta - Department of Banking and Finance - FEMA

Ritienne Farrugia

University of Malta - Banking and Finance Dept. - FEMA

Date Written: May 29, 2018

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 under-performed 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

JEL Classification: G11, G17, G23

Suggested Citation

Camilleri, Silvio John and Farrugia, Ritienne, The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis (May 29, 2018). International Journal of Economics and Finance, 10(7), 23-37., Available at SSRN: https://ssrn.com/abstract=3186572

Silvio John Camilleri (Contact Author)

University of Malta - Department of Banking and Finance - FEMA ( email )

Msida MSD 2080
Msida MSD 06
Malta

Ritienne Farrugia

University of Malta - Banking and Finance Dept. - FEMA ( email )

Malta

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