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The C anadian Hedge Fund Industry: Performance and Market Timing
Author(s) -
Klein Peter,
Purdy Daryl,
Schweigert Isaac,
Vedrashko Alexander
Publication year - 2015
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12055
Subject(s) - hedge fund , alternative beta , business , market neutral , market timing , fund of funds , open end fund , financial economics , hedge , econometrics , monetary economics , economics , finance , institutional investor , market liquidity , portfolio , ecology , corporate governance , biology
We analyze the risk and return characteristics of C anadian hedge funds based on a comprehensive database we compiled. We find that C anadian hedge funds have higher risk‐adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by C anadian hedge funds and find that they do not time the C anadian or global stock and bond markets, but hedge funds in the M anaged F utures 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.