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Momentum strategies have produced high returns and Sharpe ratios, and
strong positive alphas relative to market models and other standard factors
models. However, the returns to momentum strategies are highly
skewed; they experience infrequent but strong and persistent strings of
negative returns. These momentum "crashes" are forecastable: they occur
following market declines, when market volatility is high, and contemporaneous
with market "rebounds." The low ex-ante expected returns
associated with the crashes appear to result from a a conditionally high
premium attached to the the option-like payoffs of the past-loser portfolios.
Source: Working Paper
Daniel, Kent. "Momentum Crashes." Working Paper, Columbia Business School, April 12, 2011.