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.
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)
