What do “legitimate” momentum factor people do about GME?
Even if you don’t take any deliberate action to limit it, it starts to hit position limits so it gets sold off to keep the dollar exposure to a reasonable level.
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Plus I doubt there are many 100% momentum players, most quants will have some weight on value/profitability/etc just because they improve the momentum return (ie even if you think there is zero alpha in those factors they are -ve correlated with momentum s that helps)
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