. HEDGE FUND PORTFOLIO ANALYSIS
Multistrategy and market neutral eqity funds have little exposure to asymmetrical beta
All other hedge funds styles have negative asymmetrical beta exposures
Can anyone explain?
"Hedge fund performance can be dynamic: Hedge fund performance is not static: beta
exposures, volatility, and correlations change over time. Furthermore, most hedge fund
styles have negative asymmetrical beta exposures, meaning that correlations increase
during market downturn and decrease during upturns. Some hedge fund strategies
such as dedicated short bias and managed futures have exhibited attractive (positive)
asymmetrical beta exposures, wherein betas increase during market upturns and decrease during downturns."
Schweser pg 124, book 4