TY - JOUR T1 - On Understanding Bear Market Funds JF - The Journal of Alternative Investments SP - 35 LP - 46 DO - 10.3905/jai.2010.13.2.035 VL - 13 IS - 2 AU - Nelson Lacey AU - Qiang Bu Y1 - 2010/09/30 UR - https://pm-research.com/content/13/2/35.abstract N2 - Despite poor performance, bear market funds have been growing rapidly in recent years. The authors find that while bear funds exhibit timing ability, this surprisingly does not translate into enhanced return performance. They also find that bear funds tend to be risk-seeking at a time when market volatility is high. The results are consistent with viewing these funds not in the more traditional context of return maximization, but instead in the context of risk management. In other words, bear market funds decrease return volatility of the fund family at the cost of a slightly lower fund-family return.TOPICS: Real assets/alternative investments/private equity, risk management, performance measurement, financial crises and financial market history ER -