Resource type
Date created
2010-08
Authors/Contributors
Author: Kapoor, Amitesh
Abstract
Canadian hedge funds have outperformed the benchmark index by an average of 72 basis points monthly from January 2000 through May 2009. By comparison, Canadian mutual funds have outperformed the benchmark index by an average of 18 basis points monthly in the same period. This contrast in performance persists even after adjusting for risk, as measured by Sharpe Ratio, Treynor Ratio, and Information Ratio. It also persists on market risk adjusted basis. Using CAPM, Fama and French three Factor Model, and Carhart, the alpha is much higher for Hedge Funds than Mutual funds. I have analysed the performance in different sub periods and market environments. Hedge Funds more actively manage their asset allocation and thus, the high degree of freedom that hedge funds have in their investment style can possibly be one explanation for the differences in the performance.
Document
Description
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Member of collection
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