Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
Journal of Investment Strategies
; 11(2):11-46, 2022.
Article
in English
| Scopus | ID: covidwho-2056745
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. © 2022 Infopro Digital Risk (IP) Limited.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Language:
English
Journal:
Journal of Investment Strategies
Year:
2022
Document Type:
Article
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