Mon, Mar 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

New study reveals where hedge funds are most over exposed

Tuesday, November 19, 2013

Beverly Chandler, Opalesque London:

eVestment, an institutional investment data and analytics firm, has issued a report entitled "Hedge Fund Exposure & Tail Risk," which aggregates the positions of the 30 largest hedge funds and quantifies their market exposures, risks, expected returns and performance in stressed market environments. eVestment says that the results show where these funds are overexposed and most vulnerable to large losses through Q3 2013.

The key findings show:

  • The 30 hedge funds controlling over a third of a trillion US dollars are, in aggregate, bullish on medium grade (BBB/BB) US corporate debt, US fixed rate asset backed securities, global high grade (AAA) corporate debt and US equities with a bias towards large cap and growth characteristics.
  • An asset-weighted portfolio comprised of the 30 largest hedge funds is expected to return on average 0.73% over the next month, and in the best case scenario 3.10%, according to its Expected Tail Return (ETR) at a 95% confidence level.
  • Of 11 historical stress test scenarios, a repeat of the 2000 burst of the dot-com tech bubble and the ensuing NASDAQ market crash presents the largest risk of loss for the asset-weighted portfolio of the 30 largest hedge funds. Despite the downward pressure if a similar event were to occur, the portfolio’s negative return expectation is limited to -2.29%.
  • A recurrence of the global market volat......................

    To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie