Since 2008, Lupus alpha has been investigating the performance of Absolute Return funds, including Alternative Return and Liquid Alternative funds. Based on Thomson Reuters Lipper data, the asset manager notes that the average return on UCITS-compliant funds in 2016 amounts to only 0.39 percent.
More than half of the funds (57%) under investigation had a positive return and a positive Sharpe ratio. Over a five-year basis, the return of Absolute Return funds is with 3.31 percent per year much better.
Institutional investors are increasingly investing in alternative strategies. Their share of the total asset under management of the study has risen to 37 per cent of the 201.6 billion euros, which are managed by the 602 examined funds. The most specialised strategies, especially non-directional strategies such as relative value, global macro or managed futures, recorded the highest inflow of funds.