The Canadian Hedge Fund Industry: Performance and Market Timing

被引：3
|
作者：
Klein, Peter [1 ,2 ]
Purdy, Daryl [2 ]
Schweigert, Isaac [2 ]
Vedrashko, Alexander [1 ]
机构：
[1] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada
[2] KCS Fund Strategies Inc, Vancouver, BC, Canada
来源：
INTERNATIONAL REVIEW OF FINANCE | 2015年 / 15卷 / 03期
关键词：
STRUCTURAL-CHANGES; MUTUAL FUNDS; RISK; GEOGRAPHY; RETURN; INVESTMENT; STRATEGIES; MODELS; BIASES; TESTS;
D O I：
10.1111/irfi.12055
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：283 / 320
页数：38
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