University of Technology, Sydney

Staff directory | Campus maps | Newsroom | What's on

FIRN supported seminar: Caught by the tail: Tail risk neutrality and hedge fund returns


Speaker: Stephen Brown, Stern School of Business, New York University, USA

Abstract: We propose a simple and yet robust measure of tail neutrality. By this measure, hedge funds taken as a whole, and a number of distinct hedge fund styles are more sensitive to market risk when the market experiences a substantial decline. 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.

27 June 2006
City - Haymarket CB05D Level 3, Room 3.01
Conference Delegates

Back to list of archived events