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The Canadian Hedge Fund Industry: Performance and Market Timing

Author

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  • Peter Klein
  • Daryl Purdy
  • Isaac Schweigert
  • Alexander Vedrashko

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.

Suggested Citation

  • Peter Klein & Daryl Purdy & Isaac Schweigert & Alexander Vedrashko, 2015. "The Canadian Hedge Fund Industry: Performance and Market Timing," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 283-320, September.
    • Handle: RePEc:bla:irvfin:v:15:y:2015:i:3:p:283-320
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    File URL: http://hdl.handle.net/10.1111/irfi.12055
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    Cited by:

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    2. Andreu, Laura & Matallín-Sáez, Juan Carlos & Sarto, José Luis, 2018. "Mutual fund performance attribution and market timing using portfolio holdings," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 353-370.

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