Crowded Trades and Tail Risk
研究对冲基金持仓的拥挤程度对投资组合收益和尾部风险的影响，发现高拥挤组合收益差异显著，且基金拥挤度暴露能解释行业困境期间的大幅回撤。
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 the variation in the realized portfolio returns 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. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.