US REITs and Lodging: Any Way You Quant It: Citi Proprietary Analysis of REIT Crowding & Factor Performance for July 2026

Research evidence excerpt

US REITs and Lodging: Any Way You Quant It: Citi Proprietary Analysis of REIT Crowding & Factor Performance for July 2026

US REITs and Lodging

07 July 2026 Citi Research

Citi Quant Crowding Introduction

Since the global financial crisis over a decade ago, quantitative investors have been

concerned about crowding of systematic investment strategies. Or more simply

stated, whether everyone is looking at the same factors and investing in the same

stocks. While sympathetic to the view, we would be much more concerned if the

entire investment community, including fundamental and quant investors as well

as hedge funds and multi-strategy funds, are investing in the same theme or set of

stocks. The tech bubble in late 1990s, defensive positioning during the GFC period,

chasing yields and low volatility stocks in early 2010s are a few obvious examples

of extreme crowding or consensus trades in the equity market. With the

proliferation of hedge funds and increased flows into ETFs and factor investing

(including smart beta indices), crowding has become an increasing concern among

a broad range of investors. We think it is timely and important to consider a

systematic way to measure crowding in the equity market.

Over the last few years, we have developed a framework to evaluate crowdedness

in quantitative factors based correlation with short interest, factor valuation, inter-

quantile correlation and macro risk contribution (see Quantitative Factor Profile

and US Quantitative Insights). Looking to extend this framework to quantify

crowdedness at the stock level has its own set of challenges with the lack of public

information on investors’ holdings and much delayed (45+ days) 13F filings.

We have been considering other more timely market-based indicators to measure