With the growth of hedge fund industry, investors are interested in the possibility of replicating hedge funds returns by using market indexes. Most papers on the hedge fund performance are based on data prior the 2007-2008 financial crisis. This study uses monthly returns data for 59 Canadian hedge funds in Bloomberg database from January 2009 to September 2016 to investigate the hedge funds performance and possibility of replication in the post-crisis period. We follow Hzsanhodzic’s (2006) linear factor model to determine the significance of expected returns can be explained by six common risk exposures. We find that “clone” hedge funds returns would be hard to realize under Canadian market conditions by using current post-crisis data
