RT Journal Article
SR Electronic
T1 Standing Out From the Crowd: <em>Measuring Crowding in Quantitative Strategies</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 14
OP 23
DO 10.3905/jpm.2013.39.4.014
VO 39
IS 4
A1 Rochester Cahan
A1 Yin Luo
YR 2013
UL https://pm-research.com/content/39/4/14.abstract
AB One of the most frequently cited criticisms of quantitative investing has been the charge that everyone uses the same factors and models. In other words, the popular strategies of the last few decades, such as value and momentum, have become crowded, leaving little room for investors to generate alpha. But is this actually true? The authors propose an empirical framework for measuring crowdedness, and use this to study the crowding in common systematic strategies.TOPICS: In markets, statistical methods, technical analysis