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CFA Society Toronto & Hillsdale Announce $10,000 Investment Research Award Winner

**Research Paper Bull and Bear Markets in Commodity Prices and Commodity Stocks
Declared Winner of 2014 Canadian Investment Research Award**

TORONTO – January 29, 2014 – CFA Society Toronto and Hillsdale Investment Management are pleased to present the 2014 Canadian Investment Research Award to “Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?”.  The award winning paper was submitted by Christos Ntantamis, Department of Economics, Mount Allison University and Jun Zhou, Rowe School of Business, Dalhousie University.

The research paper was selected by a panel of judges from among 11 submissions. CFA Society Toronto and Hillsdale Investment Management will award a $10,000 cash prize to the winners on February 10, 2014 at CFA Society Toronto’s Annual Award Reception.

“The motivation for the paper came after observing significant buzz in the main stream media that questioned the performance of commodity stocks in view of increasing commodity prices. When we checked the academic literature to find results on how prices of commodities such as oil and gold affect stock prices of firms engaged in their production, we found mixed results. We thought that instead of focusing on the direct relation between prices, we could investigate the relation between the bull and bear markets of commodity prices and commodity stocks.” said Ntantamis and Zhou.

Key Findings of Paper: 

• Commodity market phases tend to have longer durations compared to stock prices. 

• Commodity prices exhibit longer bear phases compared to bull phases, whereas the opposite is true for individual stocks. 

• There is little evidence that the markets identified for the individual stocks are related to those for the commodity prices. 

• Commodity price markets allow us to partly forecast the markets for their respective stock market sector indices and the aggregate stock market. 

• A possible cause for the lack of relationship is the company’s idiosyncratic risks that create a wedge between changes in the underlying commodity prices and changes in the stock price. This effect disappears when we aggregate individual stocks.

“Using three complementary techniques, Christos Ntantamis and Jun Zhou have reached some excellent conclusions about the relationship of commodity prices to individual stocks.  Their work confirms our own.  Individual stocks remain more affected by company specific events, substitution, relative valuation and sensitivity to equity markets than to their underlying commodity prices.” said Chris Guthrie, CFA, President and CEO, Hillsdale Investment Management.

The CFA Society Toronto and Hillsdale Canadian Investment Research Award is open to global researchers conducting research related to Canadian capital markets, including both academics (professors and students) and practitioners. Submissions are judged on the potential contribution of their research to Canadian capital markets.  This prestigious award is offered annually to encourage high-quality research on investment management.

“At its roots, Hillsdale believes in and supports applied investment research.  We are so proud to be working with CFA Society Toronto on this award initiative and this year’s winning paper clearly illustrates the high caliber of submissions.” said Harry Marmer, CFA, Executive Vice President, Hillsdale Investment Management.

About the Winners 
Christos Ntantamis is an Econometrician at TD Bank.  Previously he was Assistant Professor at Mount Allison University and Aarhus University.  He earned his PhD in Economics from McGill University.  Christos’ previous work has been published by the Journal of Financial
Econometrics.  Jun Zhou is Assistant Professor of Finance at Rowe School of Business, Dalhousie University.  She earned her PhD in Finance from Rotman School of Management.  She has received grants from the Research Development Fund and is a two time recipient of the Rowe Research Grant. 

About Hillsdale Investment Management 
Founded in 1996, Hillsdale is an independent Canadian investment boutique, providing a full range of traditional equity and alternative investment strategies to both institutional and individual investors. Hillsdale manages a spectrum of long only, long/short and custom designed strategies employing a core investment style carefully implemented using an adaptive multi-strategy, risk controlled process.

About CFA Society Toronto 
CFA Society Toronto supports the professional and business development of more than 8,000 CFA charterholders in Toronto, making it the second largest member society in the world. It provides members with a local perspective on a global designation, including: educational programs, sponsored events, job postings, quarterly newsletters, a comprehensive affinity program and networking opportunities. A not-for-profit organization, CFA Society Toronto is affiliated with CFA Institute, the global body that administers the Chartered Financial Analyst curriculum and sets voluntary, ethics-based performance-reporting standards for the investment industry. CFA Society Toronto’s members are leaders in ethics in the financial community. For more information, please refer to


Hillsdale President and CEO Chris Guthrie with CFA Society Toronto & Hillsdale Canadian Investment Research Award Winner, Christos Ntantamis.  Jun Zhou, the co-author of the award winning paper, was unable to attend the event.