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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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