Large hedge funds highly exposed to asset-backed securities

Biggest funds also exposed to US junk corporate debt

Thirty of the biggest hedge funds in the world have large exposures to asset-backed securities (ABS) and US junk corporate debt, according to portfolio stress tests conducted by eVestment.

An investor purchasing a basket of these 30 hedge funds has a portfolio exposure of 41% to the Merrill Lynch US fixed-rate ABS index. The investor would suffer a 0.41% loss, were the ABS index to fall in value by 1%, all other factors being constant.

The same investor has a portfolio exposure of 6.5% to the