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Quantitative Finance · Glossary

What is Momentum crash?

Definition 5.3 Strategies I: Equities and Futures · Chapter 5 — Momentum

A momentum crash is a short period of very large losses of a momentum strategy, typically when the market rebounds sharply after a decline, as the past losers the strategy is short (often high-beta stocks beaten down by the decline) rise more than the past winners it holds.

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