The Impact of Crowding in Alternative Risk Premia Investing
Author:
Affiliation:
1. Nick Baltas is head of R&D, Systematic Trading Strategies, at Goldman Sachs and visiting researcher at Imperial College Business School, London.
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance,Accounting
Link
https://tandfonline.com/doi/pdf/10.1080/0015198X.2019.1600955
Reference37 articles.
1. Arnott, Robert D., Noah Beck, and Vitali Kalesnik. 2016a. “Timing ‘Smart Beta’ Strategies? Of Course! Buy Low, Sell High!.” Research Affiliates (September). www.researchaffiliates.com/en_us/publications/articles/ 541_timing_smart_beta_strategies_of_course_buy_low_sell_high.html .
2. Arnott, Robert D., Noah Beck, and Vitali Kalesnik. 2016b. “To Win with ‘Smart Beta’ Ask If the Price Is Right.” Research Affiliates (June). www.researchaffiliates.com/en_us/publications/articles/ 540_to_win_with_smart_beta_ask_if_the_price_is_right.html .
3. Asness, Clifford S. 2016. “The Siren Song of Factor Timing aka ‘Smart Beta Timing’ aka ‘Style Timing.’.” Journal of Portfolio Management, vol. 42, no. 5: 1–6.
4. Asness, Clifford, Swati Chandra, Antti Ilmanen, and Ronen Israel. 2017. “Contrarian Factor Timing Is Deceptively Difficult.” Journal of Portfolio Management, vol. 43, no. 5: 72–87.
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