Strategies · Core
Momentum Effect in Stocks in Small Portfolios
Run equity momentum on a concentrated winner list — higher tracking error, higher cost sensitivity.
Definition
Same 12-1 signal, hold only the extreme tail (top 20–50 names). Equal-weight. Capacity collapses; idiosyncratic risk rises. It is mom as an active share product.
Why it matters
Some papers show stronger raw returns in smaller books. Live, that is also where costs and crashes hide.
Case
A 25-name mom book that is half one industry. The ‘alpha’ was a sector.
How to read it
N, liquidity, and sector caps. Small N without a crash overlay is a lottery.
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