Which Factors May Be Crowded? intro

Which Factors May Be Crowded?

 

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?

 

 

Source: MSCI Factor Crowding Model. Learn more about the model here.


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