Factor Crowding

Factor Crowding Study should based on the valuation of factors.

AQR uses value spreads(relative valuations of long and short sides) for the majo style premia to assess both arbitraging-away/crowding concerns and contraian trading opportunities

Books

• Ilmanen, A. (2012). Expected Returns an Investor's Guide to Harvesting Market Rewards. West Sussex, United Kingdom: John Wiley.

Papers

Factor Timing

Factor Timing is Difficult

• Asness, Clifford et al(2017) "Contratian Factor Timing is Deceptively Difficult", Jounral of Portfolio Management
• Asness, Clifford et al(2016a) "MY factor philippic"

Jeremy Stein 2009

Cohan and Luo (2013) Lou and Polk (2014) and Huang Lou and Polk (2018)

Equity Momentum Crash

Yan 2013

Lou and Polk 2014

Huang 2015

Baroso and Santa-Clara 2015

Daniel and Moskowitz 2016

Guo 2017

Byun and Jeon 2018

Volatility Target Overaly as a drawdown mitigant of systematic ARP strategies

on momentum

* HUang el al 2018

Barroso and Maio 2018 low-beta

Moreira and Muir Barroro and Maio 2018b

Barroso and Detzel (2018) extend the focus across all equity factors

Use of Valuation Spreads as a factor timing indicators

Arnott Beck Kalesnik and West 2016a

Assness 2016a

Asness 2016b

Asness Chandra Ilmanen, Israel 2017

and Lee 2017