{"id":59837,"date":"2017-09-11T09:19:34","date_gmt":"2017-09-11T13:19:34","guid":{"rendered":"http:\/\/www.hedgeco.net\/news\/?p=59837"},"modified":"2017-09-11T09:19:34","modified_gmt":"2017-09-11T13:19:34","slug":"hedge-fund-crowding-primarily-consists-of-systematic-factor-bets","status":"publish","type":"post","link":"https:\/\/hedgeco.net\/news\/09\/2017\/hedge-fund-crowding-primarily-consists-of-systematic-factor-bets.html","title":{"rendered":"Hedge Fund Crowding Primarily Consists of Systematic Factor Bets"},"content":{"rendered":"<p>\n(Harvest) The analysis of hedge fund crowding in this article follows the approach of our earlier studies: We started with a decade of hedge fund Form 13F filings. Form 13F discloses positions of firms with long U.S. assets over $100 million. We only considered funds with a sufficiently low turnover to be analyzable from filings, and our database is free of survivorship bias. This sample included approximately 1,000 firms. We combined all portfolios into a single position-weighted portfolio \u2013 HF Aggregate. We then used the AlphaBetaWorks (ABW) Statistical Equity Risk Model \u2013 an effective predictor of future risk \u2013 to analyze HF Aggregate\u2019s risk relative to the U.S. Market (represented by the iShares Russell 3000 ETF (IWV) benchmark), identify the crowded exposures, and analyze their performance trends.<\/p>\n<p><a href=\"https:\/\/www.hvst.com\/posts\/hedge-fund-crowding-update-q2-2017-kwBqAKxE\">To read this article:<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>(Harvest) The analysis of hedge fund crowding in this article follows the approach of our earlier studies: We started with a decade of hedge fund Form 13F filings. Form 13F discloses positions of firms with long U.S. assets over $100 [&hellip;]<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[],"class_list":["post-59837","post","type-post","status-publish","format-standard","hentry","category-syndicated"],"_links":{"self":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/59837","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/comments?post=59837"}],"version-history":[{"count":1,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/59837\/revisions"}],"predecessor-version":[{"id":59838,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/59837\/revisions\/59838"}],"wp:attachment":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/media?parent=59837"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/categories?post=59837"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/tags?post=59837"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}