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

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Listed:
  • Pierre Trecourt
  • Florian Peres
  • Sameer Singh

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.

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Handle: RePEc:rsk:journ6:7954508
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File URL: https://www.risk.net/system/files/digital_asset/2022-09/jis_peres_web_final.pdf
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