RT Journal Article
SR Electronic
T1 Practical Applications of The Predictability of Alternative UCITS Fund Returns
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 1
OP 5
DO 10.3905/jai.22.s1.009
VO 22
IS Supplement
A1 Michael Busack
A1 Wolfgang Drobetz
A1 Jan Tille
YR 2019
UL https://pm-research.com/content/22/Supplement/1.9.abstract
AB In The Predictability of Alternative UCITS Fund Returns, from the Summer 2019 issue of The Journal of Alternative Investments, authors Michael Busack (Absolut Research GmbH), Wolfgang Drobetz (Hamburg University), and Jan Tille (Absolut Research) ask if it is possible to predict the future performance of European mutual funds known as “alternative UCITS”—publicly available funds that use nontraditional investment strategies like those of private hedge funds. Alternative UCITS managers can change their investment and trading strategies based on predictions of how the market and the economy will perform. The authors decided to find out whether individual investors can also predict how well individual alternative UCITS funds will perform.The answer is yes—if individual investors have access to sophisticated statistical models. Employing 13 variables that are commonly used to predict the performance of the market and the economy, the authors selected alternative UCITS that statistical models said would constitute the top 10% of performers. Those funds produced significantly higher earnings than the historical average, with the greatest benefits occurring during market crises.TOPICS: Exchange-traded funds and applications, real assets/alternative investments/private equity, performance measurement