(Harvest) This piece follows the approach of our earlier articles on crowding: We processed regulatory filings of over 1,000 hedge funds and created a position-weighted portfolio (HF Aggregate) consisting of all tractable hedge fund long U.S. equity portfolios. We then analyzed HF Aggregate’s risk relative to the U.S. Market using theAlphaBetaWorks Statistical Equity Risk Model– a proven system for performance forecasting.
The most crowded hedge fund bets are factors and, to a lesser extent, stocks that drive HF Aggregate’s relative risk and performance. Ironically, these are rarely the largest or the most common hedge fund positions.
