Purpose The purpose of this paper is to adopt a trading strategy using upside and downside
beta estimates. Design/methodology/approach With daily data from April 30, 1997 to April …

The author presents an empirical study of the persistence of manager returns for two core
hedge fund categories: equity long-short and macro/managed futures. The author finds that …

Markowitz (1952) and Sharpe (1991), dictates that constructing a portfolio of assets involves
taking views on the future risks, returns, and correlation characteristics of those assets. In …