Risk comes from not knowing what risk is

Two weeks ago the Economist had both a leader and a briefing on momentum in financial markets, the apparent tendency for investments that performed better than the market for some time (say 6 months) to keep rising on average, and for losers to keep falling. Financial theory would predict that market participants will destroy this regularity quickly by trying to take advantage of it ("arbitrage it away"), unless trying to take advantage of this momentum effect is risky. Is it?
Well, the Economist managed to claim (in the same issue!) that "It cannot be explained away by saying that high-performing stocks are more risky" and that "[O]ne reason why the momentum effect has not been arbitraged away [may be]: it can go horribly wrong."
Wait a second, what is that? Would someone care to explain to me what the "risk" of an trading strategy is supposed to be, if not the fact that it can go "horribly wrong"?  Risk is the danger of losing money, it is as simple as that. Standard deviations, betas, "risk"factors and all those cute toys may or may not be useful ways of modelling risk, but they are not risk.
Don't fall in love with your theories, you might mistake them for reality.

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