Z PM

Dilemmas in Hedging

Very good article Dan, allows people to really understand the quantitative analysis that goes into investing. I've never actually used the up or down beta, but that was very interesting. Sort of the same situation as Sharpe vs. Sortino. Although overall, I tend to treat the beta's with a 'grain of salt' as there are so many different ways of calculating them, and there are plenty of problems with the simple regression model. You really need a high R-squared for the beta to have real meaning.