Silvio Vismara & Michele Meoli 
Newcits 
Investing in UCITS Compliant Hedge Funds

Due to their strong regulatory frameworks, UCITS compliant hedge
funds have seen a boom in recent years and are considered by many
as the only way out for the hedge fund industry after the crisis.

Newcits: Investing in UCITS Compliant Hedge Funds
is a one-stop resource for investors 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 the
risks they are undertaking, the structures of the funds and their
differences and similarities to mutual funds and hedge funds.

The book begins with an assessment of the financial crisis from
the perspective of hedge funds and funds of hedge funds. Then it
introduces the UCITS framework and shows how these strategies
present a valuable and attractive alternative to offshore hedge
funds and funds of hedge funds. The regulatory framework is
described in depth, as are the different business models used by
asset managers. Finally it looks at current hedge fund strategies
such as long/short equity or global macro, and at how these can be
integrated into the framework.

The book also describes in detail the Newcits industry,
discussing the performances, the fee structure, the liquidity and
the key theme of ‘replicability’, studying the tracking error
volatility of the Newcits funds in comparison with their offshore
versions. A discussion of the effectiveness of the regulation and
its potential developments concludes the book.

Tabla de materias

Preface by Massimo Mazzini.

Introduction: The Crisis of 2008 and the Way 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.

Sobre el autor

FILIPPO STEFANINI Filippo Stefanini is the Head
of Research at Eurizon AI SGR where he is responsible for
analysing, selecting and monitoring hedge funds and newcits
funds. Eurizon AI SGR Sp A is the alternative investment
company of the banking group Intesa San Paolo and specialises in
managing funds of hedge funds. He has been a lecturer in Risk
Management at the University of Bergamo (Italy) since 2007. Filippo
Stefanini was the Deputy Chief Investment Officer and Head of
Asset Allocation at Aletti Gestielle Alternative SGR from 2001 to
mid 2008. He previously worked as a consultant for Accenture in the
Asset Management and Investment Banking areas. Filippo is the
author of ‘Investment Strategies of Hedge Funds’ and
‘Newcits: Investing in UCITS Compliant Hedge Funds’,
both published by John Wiley & Sons. He has also co-authored
some Italian language books published by Il Sole 24 Ore entitled
‘I fondi newcits’, ‘Hedge Funds: strategie di
investimento’ and ‘Hedge Funds: Investire per generare
rendimenti assoluti’.

TOMMASO DEROSSI, Management Engineer, graduated with
honours from the University of Bergamo. He worked as research
assistant at the Italian Stock Exchange, Department of Economic
Research, where he managed market statistics about tender offers,
IPOs and equity offerings. He cooperated with Universoft as
Corporate Finance analyst, participating in the valuation process
of many Italian companies operating in the IT sector and supporting
research about Corporate Governance issues in European listed
companies. He is currently employed in the ICT division at
Lombardini Holding, an Italian retailer, and is responsible for ICT
projects concerning the finance & administration area.

MICHELE MEOLI (Ph D) is an Assistant Professor of
Corporate Finance at the University of Bergamo, Department of
Economics and Technology Management. He has been Marie Curie
Research Fellow at the Centre for Econometrics Analysis, Cass
Business School of the City University of London. He has authored
articles in a number of international journals, covering several
research areas, such as corporate finance, corporate governance and
financial econometrics. Since 2007, he has lectured Principles of
Finance, Business Valuation, and Business Economics at the
University of Bergamo.

SILVIO VISMARA (Ph D) is an Associate Professor of
Corporate Finance at the Department of Economics and Technology
Management of the University of Bergamo. He has been research
fellow at the Manchester Business School and has been visiting at
the University of La Laguna, at the Cass Business School, and at
the University of Florida. He has participated in numerous applied
research projects, promoted by the Italian Ministry of Research,
and other private and public institutions. He is author of articles
in international journals such as Entrepreneurship Theory and
Practice, Journal of International Financial Management and
Accounting, Journal of Technology Transfer,
International Journal of Entrepreneurship and Innovation,
Managerial Finance, and Annals of Finance. He is
scientific consultant for the Italian Stock Exchange and founder of
Universoft, a spin-off from the University of Bergamo.