Momentum Crashes

Zooming In on Equity Factor Crowding

Two centuries of trend following

• 2016 Momentum crashes Kent Daniel, Tobias J. Moskowitz

• 2017 Dobryanskay Dynamic Momentum and Contrarian Trading

• meta-CTA...

• speed of moves - Derman time

2022 Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies?

Victor Haghani, Vladimir Ragulin and Richard Dewey

https://www.oaktreecapital.com/docs/default-source/memos/panmure-house.pdf