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Examining the properties of stock returns has long been a central topic in finance. Most quantitative analyses conducted by academic researchers and practitioners focus only on the return distribution. However, the return distribution itself hardly helps to determine whether the price of a winner stock picked by using the momentum strategy reaches the level where the risk incurred from the falling of prices is imminent. Therefore, we construct an implied price risk index to quantify the downside risk of a stock and use it to manage the tail risk of the momentum strategy. The empirical results demonstrate that our modified strategy can not only achieve significant improvement on the overall performance, but also substantially reduce the drastic losses suffered from the 2008 global recession.We also establish the connection between the implied price risk index and the cross-sectional return differences based on the well-known three factors, the market beta, the firm size and the book-to-market ratio.