Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/30576| Title: | The risk-adjusted performance of alternative investment funds and UCITS : a comparative analysis |
| Authors: | Camilleri, Silvio John Farrugia, Ritienne |
| Keywords: | European Parliament. Alternative investment fund managers directive Investments -- Law and legislation -- European Union countries Finance -- European Union countries Finance -- Law and legislation -- European Union countries Investments -- Law and legislation -- European Union countries Investments -- European Union countries Mutual funds -- Law and legislation -- European Union countries |
| Issue Date: | 2018-05 |
| Publisher: | Canadian Center of Science and Education |
| 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. |
| 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. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/30576 |
| ISSN: | 1916971X |
| 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 |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.