Momentum crashes
研究发现动量策略虽长期正收益，但会经历罕见且持续的负回报期（动量崩溃），这些崩溃可部分预测，发生在市场下跌后、波动率高企的恐慌状态，并伴随市场反弹。基于预测的动态动量策略能显著提升夏普比率和alpha。
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in panic states, following market declines and when market volatility is high, and are contemporaneous with market rebounds. The low ex ante expected returns in panic states are consistent with a conditionally high premium attached to the option like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum’s mean and variance approximately doubles the alpha and Sharpe ratio of a static momentum strategy and is not explained by other factors. These results are robust across multiple time periods, international equity markets, and other asset classes.