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MSCI Security Crowding Model

The MSCI Security Crowding Model extends the framework of the MSCI Factor Crowding Model to individual securities. Our primary motivation was to identify crowded stocks, which we assumed would underperform, on average, and be more susceptible to crashes. If the model is working as intended, we also assume uncrowded stocks would outperform. This would be consistent with our factor-crowding research. Because any security-level characteristic could potentially be a factor, we evaluated our crowding score and components as factors.

MSCI Security Crowding Model framework

MSCI Security Crowding Model framework


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