Can investors benefit from the performance of alternative UCITS funds?

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• 作者：Michael Busack ; Wolfgang Drobetz ; Jan Tille
• 关键词：Alternative mutual funds ; UCITS funds ; Hedge funds ; Performance measurement ; Performance persistence
• 刊名：Financial Markets and Portfolio Management
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：31
• 期：1
• 页码：69-111
• 全文大小：
• 刊物主题：Business and Management, general; Finance, general; Management;
• 出版者：Springer US
• ISSN：2373-8529
• 卷排序：31

文摘

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.