Travail de recherche/Working paper
| Résumé : | 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, we 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, we identify further those which have an equivalent offshore hedge fund whose performance is replicated by using the same or a similar strategy, or through a swap. We 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 we use equally-weighted indices but an offshore outperformance when we do a cross-sectional study. We also find a sizable regulation-induced tracking error. |
