Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
Need to know
- Implementation of a quantitative framework providing a unique perspective into the diversity of risk profiles of Alternative UCITS funds.
- Factor-based fund clustering into seven heterogenous, predominantly long risk clusters, neutral clusters and short or hedging cluster.
- 70% of the variance of the universe captured by the factor model represented by the 47 Pure Factors.
- Investors can gain additional insights on their current or prospective Alternative UCITS holdings by observing performance in the context of the relevant cluster.
Abstract
After years of expansion, the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) market experienced wide fluctuations in performance during the Covid-19 market crisis. Using a novel quantitative process that utilizes Premialab Pure Factors, we identify seven clusters within a universe of 323 alternative UCITS based on their performance and factor characteristics. Investors can gain additional insights into their current or prospective alternative UCITS holdings by observing their performance in the context of the relevant cluster.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net