The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

Camilleri, Silvio John; Farrugia, Ritienne

doi:10.5539/ijef.v10n7p23

Cited by 3 publications

(1 citation statement)

References 35 publications

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“…Sharpe ratio takes into account both the return and the risk of an investment (Kozak, 2017). Sharpe ratio provides a way to compare investments with different levels of risk and determine whether the return generated is commensurate with the amount of risk taken (Camilleri & Farrugia, 2018). This allows investors to evaluate the risk-return tradeoff across various assets or strategies, enabling informed decision-making.…”

Section: Research and Methodologymentioning

confidence: 99%

Investing in the long-term: an empirical approach

Enow

2024

IJRBS

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There has been a proliferation of numerous investment strategies over the years, but one strategy is perceived to have stood the test of time. Investing in the foreseeable future is favored by many successful long-term investors which focus on maintaining a long-term investment horizon. Investing in the long term involves purchasing assets and holding onto them for an extended period, regardless of short-term market fluctuations. Exploring the benefits of this method can help investors make informed selections and build a disciplined investment mindset to achieve their financial goals. The goal of this study was to empirically evaluate the merits of a purchase and hold strategy in financial markets because of its perceived considerable influence on active market players. A Sharpe ratio was utilized for six financial markets from June 13, 2018, to June 13, 2023. The findings revealed that market participants can achieve a sustainable return by simply maintaining a long-term view of their portfolios. This was evident in the Nasdaq, CAC 40 and Nikkei 225. Upon selecting a particular risk tolerance and investment horizon, market participants may earn significant returns on their portfolios.

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Section: Research and Methodologymentioning

confidence: 99%

Investing in the long-term: an empirical approach

Enow

2024

IJRBS

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A complex networks approach to pension funds

D’Arcangelis

Levantesi

Rotundo

2021

Journal of Business Research

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Estimation of the Efficiency of the Investment Fund

Dadyan¹

2021

Preprint

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In this article, a search for a calculation method and an analysis of performance indicators of mutual investment funds is carried out. Many factors can influence the return on investments in portfolio investments, which makes the choice of the fund incredibly difficult. However, in addition to the fact that it is difficult to determine which indicators should be given more attention and which should be omitted, it is not so easy to get these data. Some of them are publicly available on the Internet, while others can only be found in trading systems that are not accessible to people outside of this area. The article proves that a well-trained neural network can easily find existing patterns between risk and expected return on investment. It is a well-trained neural network that provides the ability to use the "what-if" function to justify your choice on real factors, as well as the ability to download available data and calculate the estimated income and its changes. This makes it much easier to choose a Fund, especially for inexperienced investors. The article also presents the results of a study of the dependence of estimated income on correlation, standard deviation, and volatility using a trained neural network. According to the theory, higher values of these three factors correspond to a higher amount of income. The obtained graphs of the calculated income dependence on correlation, standard deviation, and volatility confirmed the correctness of the neural network training and compliance with the relations described in the theory. The paper presents graphs of the dependence of the estimated income on the beta and alpha coefficients. The higher the beta and alpha indicators, the higher the expected return on investment. This corresponds to the dependency accepted in the model. When the values of the beta and alpha coefficients increase, the income also increases, which is completely consistent with the theory.

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The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis

Cited by 3 publications

References 35 publications

Investing in the long-term: an empirical approach

Investing in the long-term: an empirical approach

A complex networks approach to pension funds

Estimation of the Efficiency of the Investment Fund

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