活动内容
Topic
Crowded Trades and Tail Risk
Speaker
Christian Lundblad
Professor
of Finance, The University of North Carolina at Chapel Hill
Abstract
Hedge
fund positions are an important component of crowded trades. These vehicles are
particularly active, take highly concentrated positions, and utilize leverage
and short sales. Using a database of hedge fund holdings, we measure the degree
of security-level crowdedness. The difference between the average returns on
portfolios sorted by high versus low crowdedness portfolios is sizable and
their variation is distinct from other traditional risk factors. Further, hedge
fund exposures to crowdedness are often significant and they help to explain
downside "tail risk", as funds with higher exposures experience
relatively larger drawdowns during periods of industry distress.
