Front-running the herd, investor crowding

Front-running the herd, investor crowding

Front-running the herd, investor crowding

What is crowding? Is it always bad? How do you measure it? Can you think of crowding as a factor?
So-called investor crowding – particularly into popular systematic strategies such as momentum investing – has been a hot topic for several years, and blamed for some of the convulsions seen in equity markets during that period. But it’s not always obvious what people mean by crowding, or whether it is necessary to be avoided.

This session will look at:

  • Risks associated with factors
  • Investor crowding and crowding as a factor - how to measure it
  • Latest research into crowding effects and how investors can handle them
  • The impact of market liquidity and recent global market developments on systematic strategies


Vitali Kalesnik

Partner, director of research

Research Affiliates

Vitali Kalesnik is a partner and senior member of the investment team.
He leads research and business strategy in the European region.
Previously, Vitali led the Equity Research team and continues to
perform general equity-related research.
Articles he has co-authored with others have been recognized with two
Graham and Dodd Scroll Awards, a Financial Analysts Journal Readers’
Choice Award, a William F. Sharpe Indexing Achievement Award, and a
Bernstein Fabozzi/Jacobs Levy Award. His research strengthens and
expands Research Affiliates’ products—in particular, RAFI™
Fundamental Index™ strategies—and supports our global tactical asset
allocation products.
Vitali earned his PhD in economics from the University of California,
Los Angeles, where he was a winner of the UCLA Graduate Division
Fellowship for 2001–2005. He speaks fluent English, Russian, and

Luc Dumontier

Head of Factor Investing & Senior Portfolio Manager


Luc Dumontier, Head of Factor Investing & Senior Portfolio Manager, LA FRANCAISE INVESTMENT SOLUTIONS

In 1998, Luc started his career as an equity portfolio manager. From 2004 to 2011, he was in charge of the Absolute Return management at Sinopia where he developed quantitative strategies such as Global Bond Market Neutral, Currency Overlay, Global Tactical Asset Allocation, and Multi Government Bonds. After that, Luc was Head of the Absolute Return management at HSBC AM. Luc also leads the « Portfolio Management » class at the SFAF (French Society of Financial Analysts) since 2002 and at the AFG (French Asset Management Association) since 2011.

Luc holds a Master's degree of Economy and also a Master's degree in Money, Bank and Finance from Pantheon-Sorbonne University.


Rob Mannix

editor, quant investing

Rob Mannix is the desk editor for investment, covering systematic investment strategies from quant funds to factor investing. He was previously responsible for’s insurance coverage.

Based in the London office, Rob is interested in developments in the use of new types of data, the application of machine learning in investment, and research into systematic sources of return in markets. 

Rob joined Infopro Digital (then Incisive Media) in 2008, having previously worked at Euromoney Institutional Investor, covering legal and regulatory issues affecting capital markets.

Nick Baltas

Managing director, head of R&D of the systematic trading strategies group

Goldman Sachs

Nick Baltas, Ph.D., is a managing director and head of R&D of the Systematic Trading Strategies (STS) Group at Goldman Sachs. He is responsible for providing thought leadership in the space of factor and risk premia investing, portfolio construction, and strategy design. Alongside, he maintains a visiting academic position at Imperial College Business School and has been appointed as the co-executive editor of the newly launched Journal of Systematic Investing.

Prior to joining Goldman Sachs in 2017, Nick was an executive director in the quantitative research unit of UBS. Previously, he was a Lecturer in Finance at Imperial College Business School, a visiting Lecturer at Queen Mary University of London, as well as a risk manager in a London-based hedge fund. He has received several teaching awards and his research has been awarded with numerous grants and prizes, has been published in academic finance journals and practitioner books, and has been quoted by the financial press. Most recently he was the recipient of the 2019 EQDerivatives Best Academic Research Paper Award in Alternative Risk Premia (joint with Bernd Scherer).

Nick holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications & signal processing from Imperial College London and a PhD in financial economics from Imperial College Business School.

Christian Lundblad

Richard Levin Distinguished Professor; Finance Department Chair

Kenan-Flagler Business School, University of North Carolina

Christian Lundblad is the Richard Levin Distinguished Professor of Finance, the Chair of the Finance Area, and the Associate Dean of the Ph.D. Program at the University of North Carolina’s Kenan-Flagler Business School.  He is also the Director of Research at the Kenan Institute of Private Enterprise and the Director of the Center for Excellence in Investment Management.  Finally, he holds a courtesy appointment as a Special-Term Professor at the People’s Bank of China School of Finance, Tsinghua University in Beijing, China.

His research spans asset pricing, investment management, and international finance, with a specialization in emerging market development. His research has been published in top academic journals such as the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics.  He served as an Associate Editor for the Journal of Finance, and now serves at the Journal of Banking and Finance and Financial Management.

He also served as a financial economist at the Federal Reserve Board in Washington, D.C., where he advised the Board of Governors on international financial market developments.

He is the recipient of the MBA for Executives and OneMBA Teaching Excellence awards.

He received a PhD in financial economics and a master’s degree in economics from Duke University. He earned his BA in economics and English literature with highest honors from Washington University in St. Louis.