Michele Aghassi - Unintended Bets Everywhere (S6E7)
Flirting with Models
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How to Measure if a Factor Is Overcrowded
One of the big pushbacks you often get with factors is that they simply became crowded. AQR was too good at promoting factor allocations among institutional and retail investors in that they become too crowded, he says. How do we know that this performance hasn't been simply crowded out? Right. These investment themes, value, momentum, carry, defensive, they've been known about for some time. And there are actually a variety of ways of measuring their crowdedness which can fluctuate through time.
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