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Does Manager Offshore Experience Count
in the Alternative UCITS Universe?

Benoît Dewaele, Iliya Markov, Hugues Pirotte and Nils S. Tuchschmid
The Journal of Alternative Investments Summer 2013, 16 (1) 72-85; DOI: https://doi.org/10.3905/jai.2013.16.1.072
Benoît Dewaele
is a Ph.D. student at Centre E. Bernheim, Solvay Brussels School of Economics and Management at the Université Libre de Bruxelles in Brussels, Belgium.
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  • For correspondence: bedewael@ulb.ac.be
Iliya Markov
is a research assistant at Haute Ecole de Gestion de Genève in Carouge, Switzerland.
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  • For correspondence: iliya.d.markov@gmail.com
Hugues Pirotte
is BNP Paribas Fortis Professor of Finance at Centre E. Bernheim, Solvay Brussels School of Economics and Management at the Université Libre de Bruxelles in Brussels, Belgium.
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  • For correspondence: hugues.pirotte@ulb.ac.be
Nils S. Tuchschmid
is a partner at Tages Capital LLP in London, UK.
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  • For correspondence: nils.tuchschmid@tagesgroup.com
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Abstract

This article examines the performance of alternative UCITS funds on the basis of manager offshore experience and, additionally, the existence of an “equivalent” offshore hedge fund. Managers with offshore experience are defined as management companies managing offshore hedge funds in addition to managing UCITS. For a sample period from 2008 to 2011, the authors find that such UCITS have a positive alpha, still with a P-value of 0.12 due to the limited size of the subsamples, which could provide some evidence of offshore manager added value. Among these UCITS, they identify further those that have an equivalent offshore hedge fund whose performance is replicated by using the same or a similar strategy, or through a swap. The authors find that “offshore-experienced” UCITS without offshore equivalents 1) exhibit no meaningful differences in mean performance compared to those with equivalents, but are 2) generally less volatile and show a positive significant alpha at the 95% level. Concentrating then on those with equivalent offshore hedge funds, the onshore-offshore comparison shows no significant differences in mean performance and volatility when they use equally-weighted indexes but an offshore outperformance when they do a cross-sectional study. The authors also find a sizable regulation-induced tracking error.

TOPICS: Real assets/alternative investments/private equity, mutual funds/passive investing/indexing, developed, performance measurement

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The Journal of Alternative Investments: 16 (1)
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Does Manager Offshore Experience Count
in the Alternative UCITS Universe?
Benoît Dewaele, Iliya Markov, Hugues Pirotte, Nils S. Tuchschmid
The Journal of Alternative Investments Jun 2013, 16 (1) 72-85; DOI: 10.3905/jai.2013.16.1.072

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Does Manager Offshore Experience Count
in the Alternative UCITS Universe?
Benoît Dewaele, Iliya Markov, Hugues Pirotte, Nils S. Tuchschmid
The Journal of Alternative Investments Jun 2013, 16 (1) 72-85; DOI: 10.3905/jai.2013.16.1.072
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