Clik here to view.
Hedge Fund Crowding Update – Q3 2016
Whereas most analysis of hedge fund crowding focuses on individual stocks, over 85% of hedge funds’ recent long equity variance has been due to their factor (systematic) risk. Residual, idiosyncratic,...
View ArticleClik here to view.
Hedge Fund Crowding Update – Q4 2016
A typical analysis of hedge fund crowding surveys popular equity holdings. Yet, such residual, idiosyncratic, or stock-specific bets account for only 31% of current hedge fund crowding. Factor...
View ArticleClik here to view.
Performance of the Top U.S. Stock Pickers in 2016
And What They Owned at Year-end Though 2016 was a poor year for most institutional portfolio managers, it was a satisfactory year for the most skilled ones. Security selection returns of the top U.S....
View ArticleClik here to view.
Hedge Fund Crowding Update – Q1 2017
A typical analysis of hedge fund crowding considers large, popular, and concentrated hedge fund long equity holdings. Such analysis usually assumes that crowding comes from stock-specific bets and that...
View ArticleClik here to view.
Replicating Fundamental Indexing with Factor Tilts
The proliferation of smart beta strategies has raised questions about the relationship between the core risk factors that have formed the foundation of quantitative investment analysis for decades and...
View ArticleClik here to view.
Hedge Fund Crowding Update – Q2 2017
Whereas hedge fund crowding primarily consists of systematic factor bets, most analysis of hedge fund crowding focuses solely on popular positions. Moreover, such analysis usually assumes that hedge...
View ArticleClik here to view.
U.S. Smart Beta Crowding
Rapid asset flows into smart beta strategies have led to concerns about froth and a vigorous debate among systematic portfolio vendors. At the same time, few discussions of smart beta crowding are...
View ArticleClik here to view.
The Predictive Power of Active Share
Active Share is a popular metric that purports to measure portfolio activity. Though Active Share’s fragility and ease of manipulation are increasingly well-understood, there has been no research on...
View ArticleClik here to view.
The Explanatory Power of Sectors and Style
Factor analysis is a popular and effective technique that explains and forecasts security returns. The factor models prevalent in academic circles (Fama-French, Carhart) tend to rely heavily on the...
View ArticleClik here to view.
The Effect of ESG Constraints on Systematic Risk
ESG constraints and overlays can create significant systematic exposures within equity portfolios. Whereas some of these exposures may be intentional long and short industry bets, others are...
View Article
