Tail effects are when there are large differences between groups at the extremes (tails) of distributions. This happens when the distributions differ in either the mean or the standard deviation (or both), even when these differences are quite small. Below we see a density plot of two normal distributions with different means as well as a threshold value (vertical line). The table below the plot shows various summary statistics about the distributions with regards to the threshold. Try playing around with the numbers on the left and see how results change.
Made by Emil O. W. Kirkegaard using Shiny for R. Source code available on Github.