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Article

Standing Out From the Crowd: Measuring Crowding in Quantitative Strategies

Rochester Cahan and Yin Luo
The Journal of Portfolio Management Summer 2013, 39 (4) 14-23; DOI: https://doi.org/10.3905/jpm.2013.39.4.014
Rochester Cahan
is the head of U.S. quantitative strategy at Deutsche Bank Securities in New York, NY.
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  • For correspondence: rochester.cahan@db.com
Yin Luo
is the head of global quantitative strategy at Deutsche Bank Securities in New York, NY.
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  • For correspondence: yin.luo@db.com
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Article Information

vol. 39 no. 4 14-23
DOI 
https://doi.org/10.3905/jpm.2013.39.4.014

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online July 31, 2013.

Copyright & Usage 
© 2013 Pageant Media Ltd

Author Information

  1. Rochester Cahan
    1. is the head of U.S. quantitative strategy at Deutsche Bank Securities in New York, NY. (rochester.cahan{at}db.com)
  2. Yin Luo
    1. is the head of global quantitative strategy at Deutsche Bank Securities in New York, NY. (yin.luo{at}db.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Portfolio Management: 39 (4)
The Journal of Portfolio Management
Vol. 39, Issue 4
Summer 2013
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Standing Out From the Crowd: Measuring Crowding in Quantitative Strategies
Rochester Cahan, Yin Luo
The Journal of Portfolio Management Jul 2013, 39 (4) 14-23; DOI: 10.3905/jpm.2013.39.4.014

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Standing Out From the Crowd: Measuring Crowding in Quantitative Strategies
Rochester Cahan, Yin Luo
The Journal of Portfolio Management Jul 2013, 39 (4) 14-23; DOI: 10.3905/jpm.2013.39.4.014
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  • Article
    • Abstract
    • SHORT STORIES: USING SECURITIES-LENDING DATA TO MEASURE CROWDEDNESS
    • FOLLOW THE HERD: USING STOCK CO-MOVEMENT TO MEASURE CROWDEDNESS
    • HORSES FOR COURSES: COMPARING AND CONTRASTING THE TWO MEASURES
    • IT’S A MULTIFACTOR WORLD
    • THE QUANT CRISIS OF 2007
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
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