Date of Award
Spring 6-16-2024
Degree Type
Dissertation
Degree Name
Doctor of Business Administration (DBA)
First Advisor
Thomas Berry
Second Advisor
Betsy Laydon
Third Advisor
Sebastien Michenaud
Abstract
This research examines the concept that hedge funds generally offer diversification. The results from 26 years of monthly data on equity and hedge fund indices find that hedge fund strategies are heterogeneous as they offer varying benefits to investors. Some hedge fund strategies are highly correlated to equities and may offer an extension of a portfolio’s equity exposure during typical market environments; however, they may increase correlation risk and concentration risk during stressed market environments. Other strategies may provide portfolio diversification to reduce a portfolio’s correlation risk. This research suggests a framework to assist investors in developing asset allocation decisions based on the portfolio’s goals or mandates relative to correlation risk. This study is robust, temporal, and event-agnostic.
Recommended Citation
Shore, Mark, "Protecting Your Tail from Correlation Risk" (2024). College of Business Theses and Dissertations. 29.
https://via.library.depaul.edu/business_etd/29
