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Evaluating UCITS Compliant Hedge Fund Performance

Author

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  • Serges Darolles

    (Université Paris Dauphine)

Abstract

Despite having registered significant investor appetite in recent years, empirical research on UCITS compliant hedge funds (“Newcits” or “Alternative UCITS”) is a rare commodity. The major contribution of this paper is therefore to evaluate the performance of publicly regulated Alternative UCITS vehicles in comparison to traditional hedge funds. For the first time, a representative set of data has been analyzed on a period from June 2004 to May 2011. The results shed light on what really matters for investors: regulation, managerial skills and risk. We show that the UCITS regulatory constraints come at a cost to performance and that the impact of regulation differs from one strategy to another. We also find that the performance of Alternative UCITS is positively affected by the skill set of the manager. In particular, hedge fund experience is relevant when managing Alternative UCITS funds.

Suggested Citation

  • Serges Darolles, 2014. "Evaluating UCITS Compliant Hedge Fund Performance," Bankers, Markets & Investors, ESKA Publishing, issue 133, pages 11-22, December.
    • Handle: RePEc:rbq:journl:i:133:p:11-22
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    Cited by:

    1. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.

    More about this item

    Keywords

    Hedge Funds; Mutual Funds; Regulation; Managerial Skills;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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