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Keywords: Bull and bear markets
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Journal Articles
The value added of hedge fund styles in multi‐asset portfolios: A new approach based on bull and bear market betas
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2013) 12 (1): 44–59.
Published: 15 February 2013
.../methodology/approach For this purpose, the paper first measures the bull and bear market betas of the main hedge fund strategies (equity market neutral, event driven, global macro, relative value, and managed futures). Based on the strategy characteristics, the authors then develop a systematic framework...
