Albertsons Cos Inc "Waiting For Results To Ripen?" (Buy) Carden

Research evidence excerpt

Albertsons Cos Inc "Waiting For Results To Ripen?" (Buy) Carden

UBS Quantitative Research has developed a proprietary scoring framework for various

metrics to describe crowding in the various stocks we cover. Within equities, crowding

refers to the popularity of a stock position, long or short, among institutional investors.

A particularly crowded position carries outsized risk of adverse price movements

resulting from negative catalysts and the potential for a corresponding de-risking among

holders of that position. Crowding is often missing from traditional quantitative risk

models, so this information also helps build a fuller understanding of the risk associated

with a certain position. Further, crowding data can give insight into sentiment on the

companies we cover, how this develops over time, and the relationships this may have

with actual performance.

UBS Proprietary Measures of Crowding

Crowding Score: Our comprehensive and proprietary crowding factor combines data

sets that include prime brokerage positions, 13F regulatory filings, and stock loan data in

addition to our own internal data. The result is a crowding score for each stock we cover

that ranges from -30 (very crowded on the short side) to +30 (very crowded on the long

side). The distribution of these scores tends to remain towards the center, with a score of

±15 indicating relatively significant crowding in either direction. More on our

UBS crowding factor can be found in A Definitive Approach to Crowding, the first paper

in a series on crowding by the UBS Quantitative Research team.

Momentum Factor: To attempt to utilize crowding data as an alpha driver,

UBS Quantitative Research also developed a three-factor crowding momentum factor.