Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Crowding, crowded trade, comomentum, unwind?

Ook bekend als: crowding · crowded trade · comomentum · unwind

Definition 28.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 28 — Capacity, Decay and Crowding

Crowding is the presence of many investors in the same positions; a crowded trade is a position held by enough of them that their joint exit would move prices. Comomentum (Lou and Polk) is the average correlation of the abnormal returns of the stocks a momentum strategy holds, a measure of how many traders act on them. An unwind is the rapid reduction of a crowded position by some of its holders, which moves the prices at which the others mark theirs.

Lees in het hoofdstuk →