Performance of Canadian Hedge Fund

Peer reviewed: 
No, item is not peer reviewed.
Scholarly level: 
Graduate student (Masters)
Date created: 
2018-12
Keywords: 
Sharpe ratio
Timing variable
Fama and French multi-factor model
Linear regression
Abstract: 

This paper conducts the performance analysis and attribution of Canadian hedge funds. Firstly, we compare the key statistics of Canadian hedge fund indices, global hedge fund indices and traditional market indices. Then we conclude that Canadian hedge funds have higher risk-adjusted returns than the worldwide market.

Next, we investigate the outperformance of Canadian hedge fund by utilising the linear regression model and critical risk factors. To specify risk factors into local and global factors, we follow the methodology of Klein, Purdy, Schweigert and Vedrashko (2015). We also use market and commodity timing variables in the analysis of local risk factors, while neither of them has the significant correlation with Canadian hedge fund returns except for the return of Fixed Income and Managed Feature sub-index.

Finally, we make further study of the performance of Canadian hedge funds in different periods, with the focus on the change of coefficients in the linear model. We find that the coefficients of risk factors change in different periods.

Description: 

MSc in Finance Project-Simon Fraser University

Language: 
English
Document type: 
Graduating extended essay / Research project
Rights: 
Copyright remains with the author.
File(s): 
Senior supervisor: 
Peter Klein
Department: 
Beedie School of Business-Segal Graduate School
Statistics: