Eligibility requirements for hedge funds to be considered for a Canadian Hedge Fund Award:
- must be domiciled in Canada
- must have a track record of at least 1 year to June 30th
- must have a minimum $10 million in AUM
- must be in CAD
Canadian Hedge Funds are categorized for the purpose of the CHFAs by fund strategy as follows:
Funds that employ primarily equity investment strategies including Long/Short Equity, Event Driven, Convertible Arbitrage, Relative Value, Statistical Arbitrage and REITs. Fixed income investments are usually less than 30% of the Fund’s portfolio. Funds with the majority of securities not marked-to-market are excluded (ie Private Equity funds are not eligible).
Funds that seek to generate absolute positive returns entirely from security selection, not market exposure. The Fund seeks to remain “Market Neutral” by investing in long and short positions with low correlation to other asset classes. Shorts are used primarily for hedging rather than alpha generation.
Funds that employ primarily fixed income investment strategies. Equity investments are usually no more than 30% of the Fund’s portfolio. Funds with the majority of securities not marked-to-market are excluded.
Global Macro/Managed Futures/ Multi Strategy
Global Macro are funds that employ strategies – such as long and short positions in various equity, fixed income, currency, and futures markets – primarily on overall economic and political, “Macro-economic” views of various countries. Multi-Strat are funds that employ several strategies within the same pool of assets and Managed Futures are funds that invest primarily in futures and options with exposure to a number of markets such as commodities, energy, agriculture and currency.
Credit focused hedge funds in which the majority of the underlying securities are not marked-to-market. Funds must be structured as a mutual fund trust or LP, and trade on FundServ.
Equity Focused hedge funds in which the majority of the underlying securities are not marked-to-market. Funds must be structured as a mutual fund trust or LP, and trade on FundServ.
Based on performance to June 30th, the Canadian Hedge Fund Awards measurements for each category are:
- Best 1 year return
- Best 3 year average annual compound return
- Best 3 year Sharpe Ratio
- Best 5-year average annual compound return
- Best 5-year Sharpe Ratio
Best Overall Canadian Hedge Fund Award:
Combining best 10-year average annual compound return AND Best 10-year Sharpe Ratio, this award recognizes longevity as well as performance. Less than 50 Canadian hedge funds currently have this tenure.