The latest Hedge Fund Exposure and Tail Risk report from eVestment seeks to quantify how major historical events, or current market shocks, might impact top hedge funds today across a variety of strategies and categories.
To offer a broad look at the industry, the report looks at portfolios containing the following hedge funds reporting to eVestment: the 30 largest hedge funds by AUM, the top 10 long-short equity hedge funds, the top 10 fixed-income credit funds, the top 10 macro funds and the top 10 multi-strategy funds.
eVestment then tested those hedge fund groupings against a variety of disruptive events, including the 2008 financial crisis, and market specific stress-test scenarios. The report provides details on how large funds may react if, for example, the GBP were to appreciate versus the USD, an event which could occur if the UK remains in the European Union. According to the report large macro hedge funds could benefit from a strong GBP, and declining Euro.
Other findings include how the 30 largest funds are positioned toward the Japanese Yen and Euro (bearish), what market segments pose the greatest risk for long/short equity managers (consumer) and which sectors have been causing the greatest losses for credit funds (high yield/emerging markets).
In addition to high-level findings, the report takes deeper dives into the trends and factors impacting risk and returns for each of the five baskets of funds to provide even more insight into how funds might react and why.
