Does Manager Offshore Experience Count in the Alternative UCITS Universe?

Posted: 6 Dec 2011 Last revised: 26 May 2013

See all articles by Benoit Dewaele

Benoit Dewaele

Université Libre de Bruxelles (ULB)

Iliya Markov

University of Applied Sciences Western Switzerland - Geneva School of Business Administration

Hugues Pirotte

Université Libre de Bruxelles - Solvay Brussels School of Economics and Management

Nils Tuchschmid

Tages Capital LLP

Date Written: November 30, 2011

Abstract

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.

Keywords: UCITS, hedge funds, offshore experience, offshore equivalents, skill, replication, regulation, tracking error

JEL Classification: G11, G23, G28

Suggested Citation

Dewaele, Benoit and Markov, Iliya and Pirotte, Hugues and Tuchschmid, Nils, Does Manager Offshore Experience Count in the Alternative UCITS Universe? (November 30, 2011). Available at SSRN: https://ssrn.com/abstract=1966520 or http://dx.doi.org/10.2139/ssrn.1966520

Benoit Dewaele

Université Libre de Bruxelles (ULB) ( email )

CP 132 Av FD Roosevelt 50
Brussels, Brussels 1050
Belgium

Iliya Markov (Contact Author)

University of Applied Sciences Western Switzerland - Geneva School of Business Administration ( email )

CH-1227 Geneva
Switzerland

Hugues Pirotte

Université Libre de Bruxelles - Solvay Brussels School of Economics and Management ( email )

50 Avenue Roosevelt
CP 145/01
Brussels 1050
Belgium
+32 2 650 65 21 (Phone)
+32 2 650 41 88 (Fax)

HOME PAGE: http://www.solvay.edu/cours/pirotte

Nils Tuchschmid

Tages Capital LLP ( email )

SW1Y 5NQ London
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
703
PlumX Metrics