The Canadian Hedge Fund Industry: Performance and Market Timing
Forthcoming in the International Review of Finance
47 Pages Posted: 11 Feb 2012 Last revised: 20 Jun 2015
Date Written: February 1, 2015
We analyze the risk and return characteristics of Canadian hedge funds based on a comprehensive database we compiled. We find that Canadian hedge funds have higher risk-adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by Canadian hedge funds and find that they do not time the Canadian or global stock and bond markets, but hedge funds in the Managed Futures strategy group time the commodity market. These results are robust to parameter instability and structural changes in the model. We also illustrate the impact of using local and global risk factors to analyze the performance of local investment firms.
Keywords: Hedge funds, Canadian hedge funds, performance, risk, market timing
JEL Classification: G11, G12, G23
Suggested Citation: Suggested Citation