The Virtuous and Vicious Cycles of Crowding Hedge Fund Crowding has cost investors $12 billion in the first 10 months of 2015, and $9 billion in the August-October 2015 rout. That is to say, tractable hedge funds’ long U.S. equity portfolios have suffered severely negative active return from security selection (alpha, or αReturn) this year, […]
Applying a robust risk model to hedge fund holdings data helps avoid losses and yields profitable opportunities. In this article, we highlight the sectors with the largest Hedge Fund losses due to crowding in Q3 2015, which sum to $4 billion. Our methodology provides an early-warning system for losses in crowded names. This analysis also […]
Our June 2015 piece listed SunEdison (SUNE) and Micron (MU) among the top ten stocks driving hedge fund risk and alpha. In the semiconductor sector, they were virtually the sole drivers. In addition, since mid-2014 semiconductor sector alpha for hedge funds has been sharply negative. Extreme semiconductor sector crowding and threat of liquidation were ominous […]
Hedge funds share a few bets. These crowded systematic and idiosyncratic exposures are the main sources of the industry’s relative performance and of many firms’ returns. Two factors and three stocks were behind most herding of hedge fund long U.S. equity positions in Q2 2015. Investors should treat consensus ideas with caution: Crowded stocks are prone […]
Property and casualty insurance company portfolios share a few systematic bets. These crowded bets are the main sources of the industry’s and many individual companies’ relative investment performance. Since the end of 2013, these exposures have cost the industry billions. Identifying Property and Casualty Industry Crowding This analysis of property and casualty (P&C) insurance industry portfolios […]
Hedge funds share a few systematic and idiosyncratic bets. These crowded bets are the main sources of the industry’s relative performance and of many individual funds’ returns. Three factors and four stocks were behind the majority of hedge fund long U.S. equity herding during Q1 2015. Investors should treat crowded ideas with caution: Crowded stocks are […]
Hedge funds share a few systematic and idiosyncratic bets. These crowded bets are the main sources of the industry’s relative performance and of many individual funds’ returns. We survey risk factors and stocks responsible for the majority of hedge fund long U.S. equity herding during Q4 2014. Investors should treat crowded ideas with caution: Due to […]
U.S. hedge funds share a few systematic and idiosyncratic long bets. These crowded bets are the main sources of aggregate hedge fund relative performance and of many individual funds’ returns. We survey the risk factors and the stocks behind most of Q3 2014 hedge fund herding. Investors should treat crowded ideas with caution: Due to the […]
U.S. hedge funds share a few systematic and idiosyncratic long bets – a phenomenon called “crowding.” Hedge fund crowding within specific sectors can be heavy; bets on exploration and production (E&P) companies are particularly crowded. Hedge fund E&P bets are the subject of this article. Eight stocks are responsible for three quarters of the herding. Crowding is […]
U.S. hedge funds share a few systematic and idiosyncratic long bets – a phenomenon called “crowding.” Crowding exists within aggregate portfolios and within specific sectors. Energy bets are particularly crowded and are the subject of this article. Crowded bets are the main sources of hedge funds’ collective and many individual funds’ energy sector returns. Four […]