Crowding can be good for quants (sometimes) – Goldman

Study finds timing dictates different results for convergent and divergent strategies in herd moves

Goldman-Sachs-headquarters.jpg
Goldman Sachs is “exploring using crowdedness indicators as signals for timing different alternative risk premia strategies”, says head of R&D

It’s been the big fear plaguing quant managers for years, but crowding – when investors follow similar strategies and buy and sell the same assets in sync – isn’t always bad for systematic investors, according to a study from Goldman Sachs.

Heavy cashflows into quant strategies such as alternative risk premia have pricked concerns about what could happen if investors ditched assets in unison when those strategies stumble. The extra investment has also added to worries that some strategies are

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free registration? Click here

This address will be used to create your account

Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the asset-liability management (ALM) banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these…

Chartis RiskTech Buyside50

The second annual RiskTech Buyside50 ranking from Chartis Research outlines notable trends in the buy side and ranks the key players operating within it, focusing on solutions, industry segments and the scope and breadth of investment lifecycle…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here