Goldman Warns ‘Quant Quake’ Marks The End Of Momentum Rally, Not A Buying Opportunity
by Tyler Durden
ZeroHedge.com
Thu, 09/12/2019
In the wake of the sharpest Momentum reversal in a decade, Goldman Sachs addresses some common investor questions on the equity market rotation and discuss what we expect going forward.
Q1: What just happened?
In the last two weeks, high momentum stocks have sharply underperformed what had been the equity market’s biggest laggards.
Our Momentum factor tracks the equal-weighted performance of the top 20% vs. bottom 20% of S&P 500 stocks ranked on trailing 12-month returns. The factor has declined by 14% since August 27, which marks the worst two-week return for Momentum since 2009 and ranks in the 1st percentile of historical returns since 1980.
The Rest…HERE
