The Canadian Hedge Fund Industry: Performance and Market Timing

38 Pages Posted: 3 Sep 2015

See all articles by Peter Klein

Peter Klein

Simon Fraser University (SFU) - Finance Area

Daryl Purdy

KCS Fund Strategies Inc.

Isaac Schweigert

KCS Fund Strategies Inc.

Alexander Vedrashko

Simon Fraser University - Beedie School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: September 2015

Abstract

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.

JEL Classification: G11, G12, G23

Suggested Citation

Klein, Peter Charles and Purdy, Daryl and Schweigert, Isaac and Vedrashko, Alexander, The Canadian Hedge Fund Industry: Performance and Market Timing (September 2015). International Review of Finance, Vol. 15, Issue 3, pp. 283-320, 2015. Available at SSRN: https://ssrn.com/abstract=2655215 or http://dx.doi.org/10.1111/irfi.12055

Peter Charles Klein (Contact Author)

Simon Fraser University (SFU) - Finance Area ( email )

Burnaby, British Columbia V5A 1S6
Canada
604-291-5605 (Phone)

Daryl Purdy

KCS Fund Strategies Inc. ( email )

815 Cambie Street
Vancouver, B.C.
Canada

Isaac Schweigert

KCS Fund Strategies Inc. ( email )

815 Cambie Street
Vancouver, B.C.
Canada

Alexander Vedrashko

Simon Fraser University - Beedie School of Business ( email )

Beedie School of Business
8888 University Dr.
Burnaby, British Columbia V5A1S6
Canada
778-782-3471 (Phone)

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