Shocks to US crossover bonds, followed by BBB-rated commercial mortgage-backed securities (CMBS), were the most damaging scenarios facing hedge funds towards the end of last year, according to stress tests of 30 large hedge funds by eVestment.
Using a returns-based analysis and a fat-tailed methodology, eVestment created a forward-looking, asset-weighted, pro forma portfolio for the 30 largest hedge funds in its research database at the end of Q3 2015.
The funds reported $479.75 billion in
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