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