[Financial Analysts Journal] The Impact of Crowding in Alternative Risk Premia Investing

Nick Baltas (2019) The Impact of Crowding in Alternative Risk Premia Investing, Financial Analysts Journal, 75:3, 89-104, DOI: 10.1080/0015198X.2019.1600955

To link to this article: https://doi.org/10.1080/0015198X.2019.1600955 

The analysis shows that divergence premia, such as momentum, are more likely to underperform following crowded periods. Conversely, convergence premia, such as value, show signs of outperformance as they transition into phases of larger investor flows.