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Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. Hedge fund and commodity fund investments in bull and bear markets Franklin R Edwards; Mustafa Onur Caglayan Journal of Portfolio Management; Summer 2001; 27, 4; ABI/INFORM Global pg. 97

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Page 1: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Hedge fund and commodity fund investments in bull and bear marketsFranklin R Edwards; Mustafa Onur CaglayanJournal of Portfolio Management; Summer 2001; 27, 4; ABI/INFORM Globalpg. 97

Page 2: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 3: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 4: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 5: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 6: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 7: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 8: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 9: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 10: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 11: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 12: Hedge fund and commodity fund investments in bull …neumann.hec.ca/pages/nicolas.papageorgiou/qfm/papers/...Sharpe ratios for bull and bear markets are calculated using the standard

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.