Abstract

http://ssrn.com/abstract=1852526
 
 

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Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns


Stephen J. Brown


New York University - Stern School of Business

Jonathan F. Spitzer


University of Virginia - Darden School of Business

May 19, 2006


Abstract:     
We propose a simple and yet robust measure of tail neutrality. By this measure, hedge funds are more sensitive to market risk when the market experiences a substantial decline. This is also true when we consider a number of distinct hedge fund styles. This source of risk is not diversifiable, and for this reason funds-of-funds as portfolios of hedge funds concentrate tail risk exposure rather than mitigate this effect.

Number of Pages in PDF File: 40

Keywords: Hedge funds, Tail Risk, Funds of Funds

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Date posted: May 27, 2011  

Suggested Citation

Brown, Stephen J. and Spitzer, Jonathan F., Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns (May 19, 2006). Available at SSRN: http://ssrn.com/abstract=1852526 or http://dx.doi.org/10.2139/ssrn.1852526

Contact Information

Stephen J. Brown (Contact Author)
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
Jonathan F. Spitzer
University of Virginia - Darden School of Business ( email )
P.O. Box 6550
Charlottesville, VA 22906-6550
United States
4349822681 (Phone)
4342434351 (Fax)
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