{"title":"Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe","authors":"P. Trecourt, Florian Peres, Sameer Singh","doi":"10.21314/jois.2022.007","DOIUrl":null,"url":null,"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.","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"50 1","pages":""},"PeriodicalIF":0.1000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Investment Strategies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21314/jois.2022.007","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
在可转让证券(UCITS)领域的集体投资替代企业中创建要素集群
经过多年的扩张，可转让证券集体投资信托(UCITS)市场在2019冠状病毒病市场危机期间经历了大幅波动。使用一种新颖的定量过程，利用Premialab纯因子，我们根据其性能和因子特征，在323个可选择的UCITS中确定了7个集群。投资者可以通过观察其在相关集群背景下的表现，进一步了解其当前或未来的另类UCITS持有情况。©2022 Infopro Digital Risk (IP) Limited。
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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