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On Understanding Bear Market Funds

Nelson Lacey and Qiang Bu
The Journal of Alternative Investments Fall 2010, 13 (2) 35-46; DOI: https://doi.org/10.3905/jai.2010.13.2.035
Nelson Lacey
is a professor of finance at the Isenberg School of Management at the University of Massachusetts-Amherst in Amherst, MA.
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  • For correspondence: nlacey@som.umass.edu
Qiang Bu
is an assistant professor of finance at the School of Business Administration at Pennsylvania State University-Harrisburg in Middletown, PA.
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  • For correspondence: qxb1@psu.edu
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Abstract

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

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The Journal of Alternative Investments: 13 (2)
The Journal of Alternative Investments
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Fall 2010
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On Understanding Bear Market Funds
Nelson Lacey, Qiang Bu
The Journal of Alternative Investments Sep 2010, 13 (2) 35-46; DOI: 10.3905/jai.2010.13.2.035

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On Understanding Bear Market Funds
Nelson Lacey, Qiang Bu
The Journal of Alternative Investments Sep 2010, 13 (2) 35-46; DOI: 10.3905/jai.2010.13.2.035
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    • Abstract
    • THE DATA
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    • BEAR MARKET FUNDS AND FUND FAMILIES
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