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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Camilleri, Silvio John | - |
| dc.contributor.author | Farrugia, Ritienne | - |
| dc.date.accessioned | 2018-05-31T06:41:37Z | - |
| dc.date.available | 2018-05-31T06:41:37Z | - |
| dc.date.issued | 2018-05 | - |
| dc.identifier.citation | Camilleri, S. J., & Farrugia, R. (2018). The risk-adjusted performance of alternative investment funds and UCITS : a comparative analysis. International Journal of Economics and Finance, 10(7), 23-37. | en_GB |
| dc.identifier.issn | 1916971X | - |
| dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/30576 | - |
| dc.description.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. | en_GB |
| dc.language.iso | en | en_GB |
| dc.publisher | Canadian Center of Science and Education | en_GB |
| dc.rights | info:eu-repo/semantics/openAccess | en_GB |
| dc.subject | European Parliament. Alternative investment fund managers directive | en_GB |
| dc.subject | Investments -- Law and legislation -- European Union countries | en_GB |
| dc.subject | Finance -- European Union countries | en_GB |
| dc.subject | Finance -- Law and legislation -- European Union countries | en_GB |
| dc.subject | Investments -- Law and legislation -- European Union countries | en_GB |
| dc.subject | Investments -- European Union countries | en_GB |
| dc.subject | Mutual funds -- Law and legislation -- European Union countries | en_GB |
| dc.title | The risk-adjusted performance of alternative investment funds and UCITS : a comparative analysis | en_GB |
| dc.type | article | en_GB |
| dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
| dc.description.reviewed | peer-reviewed | en_GB |
| dc.identifier.doi | 10.5539/ijef.v10n7p23 | - |
| dc.publication.title | International Journal of Economics and Finance | en_GB |
| Appears in Collections: | Scholarly Works - FacEMABF | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Published Paper.pdf | Main article | 674.71 kB | Adobe PDF | View/Open |
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