Performance Analysis of UCITS Hedge Funds

In this book 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. 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. Thus this study may offer useful information to actual or potential investors.