Newcits - Investing in UCITS Compliant Hedge Funds

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

FILIPPO STEFANINI is deputy Chief Investment Officer in Aletti Gestielle Alternative SGR, an Italian alternative investment company specializing in managing funds of hedge funds which is part of the banking group Banco Popolare di Verona e Novara. As of October 1st 2005 the company has assets under management of 1,4 billion euro.He graduated from Bergamo University in 1998 with first-class honors in Industrial Engineering. Since 1999 he has worked as a consultant for Accenture in the Asset Management and Investment Banking areas. He has been working for Aletti Gestielle Alternative SGR since 2001 when he was involved in the start-up project. In 2002 he became co-author of the book Hedge Funds: to invest for generating absolute returns. In 2005 he wrote the book Hedge Funds: the investment strategies. Both books were published in Italy by Il Sole 24 Ore.He is fluent in English and French. He is married to Silvia and enjoys playing golf.

"...a valuable early addition to what will no doubt be an increasing corpus of literature on the UCITS/Newcits phenomenon." ( Hedge Fund Journal , March 2011)