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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Performance Analysis of UCITS Hedge Funds after the Global Financial Crisis |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 68 |
| Date | 2019 |
| Abstract Text | In this paper, we analyze the performance of UCITS (Undertakings for Collective Investment in Transferable Securities) hedge funds after the global financial crisis from January 2010 to October 2018 by comparing them with offshore hedge funds. In addition, three strategy portfolios, including Fixed Income Arbitrage, Long/Short Equity, and Global Macro strategies, are examined. In the first part, we provide valuable insights into the hedge fund industry and the UCITS regulation. In the second part, we process to a descriptive analysis of the monthly returns. We find that UCITS hedge funds (or alternative UCITS funds) deliver lower raw returns, although positive, and higher volatility than the traditional hedge funds. However, regulated vehicles tend to face less extreme losses. Finally, we use four performance measurement models, including the CAPM (Capital Asset Pricing Model) (Sharpe, 1964) and Jensen’s Alpha (1968) Model, the Fama French (1993) Three-Factor Model, the Carhart’s (1997) Four-Factor Model and the Fung and Hsieh (2004) Eight-Factor Model, to identify the different risk exposures of the funds and evaluate their risk-adjusted performances. Our results show that UCITS hedge funds significantly underperform their offshore equivalents on a risk-adjusted basis, although both generate negative alphas over the full sample period. We argue that the lack of freedom, which UCITS funds managers cope with due to the regulation restrictions, may explain the lower performances of these new alternative funds. Thus, this study may offer useful information to actual or potential investors. |
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