Performance Comparison of Canadian Hedge Funds and Mutual Funds

Abstract:     
In this paper, I used performance measurement tools and other risk adjusted measures to analyse, evaluate, and compare the performance of Canadian hedge funds and mutual funds. In my analysis I have compared the performance of Canadian hedge funds with Canadian mutual funds having an investment focus in Canadian equity market as well as with various benchmark indices. The aim of this paper is to provide an evaluation of the performance of Canadian Hedge Funds and Mutual Funds. My main findings are; (1) the alphas of Hedge fund are much higher than those of comparable mutual funds. (2) Both Hedge funds as well as Mutual Funds have outperformed benchmarks, (3) during recession or when market is down or stable, hedge funds outperform mutual funds (4) while hedge funds and mutual funds generates almost same returns in bull market.

Number of Pages in PDF File: 14

Keywords: Sharpe Ratio, Treynor Ratio, Information Ratio, CAPM, Fama and French three Factor Model, Carhart, Alpha

Accepted Paper Series