Fra Zerohedge:
After September’s quant quake, which saw the biggest shocks to factor-based traders since the financial crisis, October (and November) echoed the collapse (after a brief fake-out bounce).
Notably both the plunges in market-neutral momentum coincide with short-momentum gains…
Source: Bloomberg
Source: Bloomberg
Most of the pain came from the $8.9 billion iShares Edge MSCI USA Momentum Factor ETF, with investors pulling more than $1 billion from the long-only strategy, the fund also had its worst month ever…
“This very long bull market has been dominated by growth, and the last several years primarily by momentum,” said Craig Birk, chief investment officer at Personal Capital, which oversees $10 billion.
“Eventually, those cycles do always revert. It’s not uncommon for them to be very long and very strong.”
Simply put, betting on past winners being future winners (and past losers being future losers) has collapsed in the last two months.
