If you start with initial equal capital weighting across say 100 holdings, if you later sell/reduce the ones that have performed relatively well then you're going against the 'Momentum' factor. A common mantra is to
cut losers, let winners run.
If you retain those that had risen the most, sell/reduce others to perhaps throw-off periodic cash (income) then ultimately you might be holding just a number of holdings that overall had risen the most, perhaps the sector that had done the best (tech ... or whatever).
Equally however, Value investing can also work well. If a momentum investor is dumping the holding that for them have 'lost' - declined the most, then in being out of favour at that time the valuations of those relatively down holdings can sometimes turn around and rebound sharply.
The better choice as it seems to me is to middle road between those two. Not reduce those that had risen the most (sell down Momentum), and not reduce/eject those that had fallen the most, that others might buy up as being Value plays ... and instead sell/reduce the middle roaders.
Often across a set of initial equal weighted assets the tall right tail holdings - those that had risen considerably, uplift the average of the whole set to levels such that the majority of the individuals lag the broad average - most of the holdings under-perform the broader average. Perhaps the targets to be culled should be the ones in the middle region, that are neither Value nor Momentum.
Both Value and Momentum tend to have higher volatility - simply because their values have shifted by above average amounts. Some suggest that
Value and Momentum are negatively correlated, and each have their own times with and against the wind, so incorporating both is a form of diversification.
Terry's (TJH) tweaked HYP has the tendency to reduce momentum to add to value, scales back those that had performed the best, to add to those that were relatively down. Maybe however another approach might be more appropriate where the middle roaders were instead reduced to add to the Value holdings, and the Momentum holdings left to run as-is. How might that be managed in practice? One way might be to separate out the best performers/highest value holdings and leave those to run as-is, and rebalance the remainder set as per normal methods. And if at times a holding within the rebalanced set rises to exceed the value of one in the buy and hold set, then swap around those holdings. In the context of a 16 stock HYP for instance, perhaps after a time and having 4 clear winners, shift those into a buy and hold Momentum pot. With those four separated out then rebalance the other 12 as per Terry's methods. But where if prior to a rebalance the value of the best holding in that pot had risen to be more than the value of one in the buy and hold pot, then clearly that buy and hold momentum pot holding had lost its relative momentum and appropriately should be replaced by the newer momentum holding. ???