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