Are “Market Neutral” Hedge Funds Really Market Neutral?
提出五种市场中性概念（均值、方差、VaR、尾部及完全中性），并检验HFR和TASS数据库中自称市场中性的对冲基金，发现约四分之一到三分之一仍显著暴露于市场风险。
One can consider the concept of market neutrality as having breadth and depth: breadth reßects the number of market risks to which the hedge fund is neutral, while depth reßects the completeness of the neutrality of the fund to market risks. We focus on market neutrality depth, and propose Þve different neutrality concepts for hedge funds. Mean neutrality nests the stan-dard correlation-based deÞnition of neutrality. Variance neutrality, Value-at-Risk neutrality and tail neutrality all relate to the neutrality of the risk of the hedge fund to market risks. Fi-nally, complete neutrality corresponds to independence of the fund to market risks. We suggest statistical tests for each neutrality concept, and apply the tests to a combined database of monthly market neutral hedge fund returns from the HFR and TASS hedge fund databases. We Þnd that between one-quarter and one-third of these funds exhibit some signiÞcant exposure to market risk.