Bear/Bull-Market Beta

Beta, computed using the set of Bear returns, or the set of Bull returns. Bear/Bull-Market Beta is a relative measure of the sensitivity of a funds return to negative/positive changes in the benchmark return.  This breaks down the beta to show whether negative/positive periods of performance of the fund are reflected by corresponding negative/positive periods of performance in the benchmark. For example, a Bear Beta of 0.5 implies that for each 1% fall in the benchmark, the fund will fall by 0.5%, e.g. the fund’s return would fall by 50% of the benchmark’s return.

Share this article