Crowded Trades and Tail Risk
Crowded Trades and Tail Risk
复制标题
拥挤交易和尾部风险
DOI：
--
复制
发表时间：
2019
期刊：
影响因子：
--
通讯作者：
C. Lundblad
中科院分区：
文献类型：
--
作者：
Gregory W. Brown;Philip Howard;C. Lundblad
对冲基金头寸是拥挤交易的重要组成部分。这些工具特别活跃，采取高度集中的头寸，并利用杠杆和卖空。使用对冲基金持有的数据库，我们衡量的程度安全级拥挤。按高拥挤度和低拥挤度分类的投资组合的平均回报率之间的差异是相当大的，并且已实现的投资组合回报率的变化与其他传统风险因素不同。此外，对冲基金对拥挤的风险敞口往往很大，这有助于解释下行“尾部风险”，因为风险敞口较大的基金在行业低迷时期会经历相对较大的提款。
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.