Momentum is consistent factor risk and a great strategy for investors. It has proved to be applicable across all asset classes and across time, yet it is not perfect. In fact, it is problematic for many investors because has negative skew and fat tails. This has been described as the tendency for momentum crashes. In a not so recent paper, "Momentum has its Moments" the other measure the size of the major momentum crashes and looks at ways to cut the risk from these crashes.
The major momentum crashes will eliminate years of return in a matter of months; however, there is a hope given these crashes seem to follow systematic behavior. Condition on the market environment and the risk from a crash can be reduced. Momentum has time-varying betas and is sensitive to measures of volatility. While beta is a contributor, momentum risk is strategy specific so just managing the volatility is a simple way of reducing crash risk.
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