Journal of Investment Strategies

Risk.net

Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe

Pierre Trecourt, Florian Peres and Sameer Singh

  • 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.

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.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here