本报告由摩根大通全球市场策略/亚太量化策略团队撰写，研究如何在不牺牲动量溢价的前提下缓解动量策略的回撤。报告指出动量策略存在两类本质不同的亏损机制：一是波动率驱动的回撤，压力先在少数个股出现、再随横截面扩散，是多头与多空组合共有的尾部风险；二是空头端的贝塔挤压，按历史收益排序使空头端集中了高贝塔、脆弱的低回报个股，市场反转时空头被逼空、可数月内抹去多年收益，仅存在于多空组合。为此作者提出两套办法：构建抗崩盘因子（波动率调整后的动量），以及用去险叠加信号对暴露进行择时。预警采用自下而上的个股宽度指标（持续高波动个股占比与波动率骤升个股占比），并以整体波动率水平衡量冲击严重程度；历史波动率是唯一具备显著崩盘择时能力的常用风格因子。
Momentum strategies typically lose money in two very different ways, and distinguishing between them has material implications for risk management. The first is the volatility drawdown, the common tail risk across momentum portfolios: stress starts in a small group of stocks and then spreads through the cross-section as crowded winners begin to sell off together. The second is the persistent risk to the long/short implementation, the beta squeeze on the short leg. Ranking on past returns concentrates the short leg with stocks exhibiting weak prior returns and low ownership characteristics, so when the market inflects, the short leg squeezes and the factor crashes. To address both vulnerabilities, we look into what precedes and drives each drawdown. A useful analogy is an epidemic that gradually spreads through the cross-section: stress builds name by name before becoming visible at the portfolio level. With that in mind, we monitor for an 'outbreak' with a bottom-up, stock-level breadt