Buch, Englisch, 144 Seiten, Format (B × H): 154 mm x 229 mm, Gewicht: 235 g
Reihe: Wiley Finance Series
Buch, Englisch, 144 Seiten, Format (B × H): 154 mm x 229 mm, Gewicht: 235 g
Reihe: Wiley Finance Series
ISBN: 978-0-470-97627-2
Verlag: John Wiley & Sons
Hugely popular due to their strong regulatory frameworks and low volatility, UCITS compliant investment strategies have seen a boom in recent years and are seen my many as the only safe investment option post financial crisis. However there is little or no literature to guide investors through the intricacies of investing in UCITS funds, until now.
This book will is a one-stop resource for investors everywhere who want to get the best out of their UCITS investments. There is a large and increasing range of UCITS compliant funds out there, but despite their tighter regulation and frameworks, investors still need to understand exactly what risks they are undertaking, how the models work and their differences and similarities to mutual funds and hedge funds. The book begins with an examination of the financial crisis from the perspective of hedge funds and funds of funds. Then it introduces the UCITS framework and shows readers how these strategies present a valuable and attractive alternative to regular hedge funds and FOHF's. It describes the regulatory framework in detail, addresses the different business models being used by asset managers, and looks at current hedge fund strategies such as convertible arbitrage or relative value, and at how these can be integrated into the framework. The book also describes in detail the UCITS industry, discussing the performances, the fee structure, the liquidity and the key theme of "replicability" studying the tracking error volatility of the UCITS fund in comparison with their offshore versions. A discussion of the effectiveness of the regulation and its potential developments concludes the book.
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Preface by Massimo Mazzini.
Introduction: The Crisis of 2008 and theWay Out.
1 From UCITS Directive to UCITS III Provisions.
1.1 Product Directive.
1.2 Management Company Directive.
1.2.1 Simplified Prospectus.
1.3 Additional Regulatory Limits Imposed by UCITS III.
1.3.1 The Prohibition on Borrowing and Short Selling.
1.3.2 Prohibition on Investment in Commodities.
1.4 The Next Step: UCITS IV Directive and New Provisions by EU.
1.5 Simplification of the Notification Procedure.
1.6 Replacement of the Simplified Prospectus with the Key Investor Document.
1.7 Management Company Passport.
1.8 Master-Feeder Structures.
1.9 Mergers between UCITS.
1.10 New EU Directive on Alternative Investments.
2 Business Models for the Production of Newcits and Managed Accounts.
3 Analysis of Operational Model of UCITS III Products.
3.1 Luxembourg SICAVS.
3.1.1 Harmonized and Non-Harmonized UCITS.
3.1.2 Self-Managed and Hetero-Managed SICAV.
3.2 CSSF 07/308 Circular: Guidelines for Luxembourg UCITS.
3.2.1 Structure of the Risk Management Unit.
3.2.2 Activities of the Risk Management Unit.
3.2.3 Determination of the Global Exposure for Non-Sophisticated UCITS.
3.2.4 Determination of the Global Exposure for Sophisticated UCITS.
3.2.5 The Counterparty Risk.
3.2.6 Limits of Concentration risk.
3.3 Swing Pricing.
3.3.1 The Swing Factor.
3.3.2 Pros and Cons of Swing Pricing.
3.3.3 Pros and Cons of Full and Partial Swing.
3.3.4 Operational Implications.
3.4 Depositary Bank, Administrator and Lack of Prime Broker.
3.4.1 The Role of the Administrator.
3.4.2 The Lack of Prime Broker.
4 Hedge Funds Investment Strategies and Limits Set by UCITS III.
4.1 Long/Short Equity.
4.1.1 Equity Market Neutral.
4.2 Relative Value.
4.2.1 Convertible Bond Arbitrage.
4.2.2 Fixed Income Arbitrage.
4.2.3 Mortgage-Backed Securities Arbitrage.
4.3 Directional Trading.
4.3.1 Global Macro.
4.3.2 Managed Futures (CTA or Systematic Futures Trading).
4.4 Event-Driven (or Special Situation).
4.4.1 Merger Arbitrage.
4.4.2 Distressed Securities.
4.5 Other Strategies.
4.5.1 Statistical Arbitrage.
4.5.2 Index Arbitrage.
4.5.3 Volatility Arbitrage.
4.5.4 Multi-Strategy.
4.6 Limits Imposed by UCITS III.
4.6.1 Considerations.
4.6.2 Background.
4.6.3 Characteristics of the UCITS III Funds Appreciated by Investors.
4.6.4 Main UCITS Rules.
4.6.5 Additional Rules to Consider.
4.6.6 Collateral Management Guidelines.
4.7 "Synthetic" Short Selling and Contracts for Difference.
4.8 Synthetic Newcits.
5 The Early Stages of the Newcits Industry.
5.1 Description of Sample.
5.2 Implemented Strategies.
5.3 Fee Structure.
5.4 Performance Analysis.
5.5 Tracking Error and Tracking Error Volatility.
5.6 Multivariate Regression Analysis on Panel Data.
5.7 Exposure to Risk Factors for each Strategy.
5.8 Contribution by Factor to the Historical Returns.
5.9 Liquidity Comparison.
5.10 Performance Contribution Analysis at Industry Level.
Conclusions.
References.
Acronyms.
Index.