Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 26, 2021 erstellt
Description:
Increases in investor exposure to prominent systematic trading strategies such as momentum correlate with lower returns to these strategies. A 1 percentage point increase in gross momentum exposure as a percentage of market capitalization corresponds with a permanent 1.1 percentage point decline in future annual momentum returns. The result is based on a new measure of total investment in a strategy that distills aggregate dollar exposure levels from stock trading volumes. The approach circumvents market clearing for zero cost strategies by defining aggregate exposure as the absolute sum of long plus short exposure. Estimating aggregate investment in momentum over time reveals a nearly 10-fold increase in momentum exposure as a percentage of market capitalization from 1980 to 2010. The association of a permanent decline in returns with increases in exposure extends to other strategies, including long-run reversal and idiosyncratic volatility