Which Factors May Be Crowded? intro
The MSCI Factor Crowding Model quantitatively estimates the degree of crowding in factor strategies. Our research has shown that factors with crowding scores greater than 1 were historically more likely to experience significant drawdowns in performance over subsequent months than factors with lower crowding scores. What are the latest factor-crowding scores? How have they changed over time? And how have the different factors performed?
How to interact with this plot: Use the radio button at the bottom to select a region. Observe the latest factor-crowding scores for the selected region in the left chart. Use the bars in the left chart to select a factor. Observe the corresponding crowding score and cumulative returns for the selected factor in the right chart. Pan and zoom by using the scroll wheel and clicking and dragging on the right chart. Hover the mouse over both charts to see more details.
Source: MSCI Factor Crowding Model. Learn more about the model here.