Manager Crowding and Portfolio Construction

Following the "quant meltdown" of August 2007, market observers became concerned that quant strategies were leading to crowded trades.

Please join us for a webinar where we analyze the impact that a risk model used in portfolio construction has on manager crowding by identifying the drivers of crowding and by illustrating their impact. A risk model's effect on manager crowding depends, in part, on how alphas used by different managers are related to each other, and to the risk model factors. During the webinar, we will explain how this works with some simple, intuitive examples, and with the aid of a well established analytical framework.

Agenda Topics:

• Crowded Trades: Definition and Framework
• Alpha Decomposition
• Alpha and Risk Factor Misalignment: Theory and Cases
• Risk Models and Crowding: Standard vs. Proprietary Models
• Empirical Results
• Conclusions