This paper contributes to the literature on the effect of liquidity and geography on performance by documenting the effect of geographically disparate hedge fund regulation on fund performance. Based on regulatory constraints, such as share restrictions and risk limits, which differ by country, we economically motivate and test a range of hypotheses regarding differences in performance and risk between UCITS compliant (Absolute Return UCITS (ARUs)) and other hedge funds. The UCITS fund universe is economically important with assets of over $8 trillion. We uncover a strong performance-liquidity tradeoff. Although ARUs underperform other hedge funds on average, this performance difference disappears when we compare subsets of the two groups that have the same liquidity or share restrictions. Hedge funds exhibit lower volatility and tail risk than ARUs on average which is consistent with obstacles to the transportation of hedge fund risk management techniques to ARUs. We find that geography and domicile have a significant effect on fund performance and risk. Finally, we find that there are limits to the ability of investors to exploit the superior liquidity of ARUs through portfolio rebalancing since they exhibit lower performance persistence.