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
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