The Momentum Gap and Return Predictability
研究发现过去赢家与输家之间的收益差（称为动量缺口）能负向预测动量利润，在美国及21个国际市场中一致，基于此策略的夏普比率为0.78。
Abstract The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25$\%$ decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios, consistent with time-varying investor biases. Following the simple real-time strategy of investing in momentum only when the momentum gap is below the 80th percentile delivers a Sharpe ratio of 0.78.