Assertion: beta's return | /r/HasProperty | negative
Facets:
Source sentences:
text: _{j}^{-}} are the estimated parameters for up-market and down-market days, respectively; r m + = r m {\displaystyle r_{m}^{+}=r_{m}} on days the market index did not decline and r m − = r m {\displaystyle r_{m}^{-}=r_{m}} on days it did; D {\displaystyle D} is a dummy variable, which takes the value of 1 when the market index daily return is non-negative and zero otherwise.”:618
text: so it is exactly 2.0, we would expect a skilled portfolio manager to have built the outperforming portfolio with a beta somewhat less than 2, such that the excess return not explained by the beta is positive.
text: Downside risk is calculated on days when the benchmark's return is negative, while upside beta is calculated when it is positive.