Hedge Fund and Commodity Fund Investments in Bull and Bear Markets
研究了1990至1998年间16种对冲基金和商品基金在股票市场上涨和下跌时的表现，发现商品基金在熊市中提供更好的下行保护，而对冲基金中的市场中性、事件驱动和全球宏观策略在整体市场上回报更优。
A primary motivation for investing in hedge funds and commodity funds is to diversify against falling stock prices. The authors evaluate the performance of 16 different such funds during rising and falling stock markets between 1990 and 1998 both as stand–alone assets and as portfolio assets. They use the Sharpe ratio and alternative safety–first criteria to evaluate performance. The conclusion is that commodity funds generally provide more downside protection than hedge funds. Commodity funds have higher returns in bear markets than hedge funds, and generally have an inverse correlation with stock returns in bear markets. Hedge funds typically exhibit a higher positive correlation with stock returns in bear markets than in bull markets. Three hedge fund styles—market–neutral, event–driven, and global macro—provide fairly good downside protection with more attractive returns over all markets than commodity funds.