Momentum: Crushed by the Vaccine

The Momentum factor saw a plunge of unprecedented magnitude in early November. This commentary aims to interpret recent market dynamics from a factor perspective and update participants on the evolving factor environment.

Findings Summary

  • Increased dispersion is observed within equity style factors in November.
  • The Momentum event spilled over to Low Volatility and Quality factors
  • Size and Value are benefiting from the rotation, providing offsetting exposures
  • Rebalancing schedules could be behind the wider dispersion in returns between Momentum strategies observed in June
  • Momentum implementations with less sensitivity to the Low Volatility factor appear to have better performance

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