Uddrag fra Goldman:
High Beta Momentum (GSPRHIMO) finished 1H22 with a record +57% run…
Unconstrained Momentum is coming off a record 1H performance
Source: Goldman Sachs FICC & Equities, Bloomberg; past performance is not indicative of future returns; as of July 2026
…but is already starting 2H on a rougher note…
Unconstrained TMT momentum (GSTMTMOM) and Pure Beta (GSP1BETA) are coming off one of the strongest starts on record…
High Beta Momentum is off to a record 1H
Source: Goldman Sachs FICC & Equities, Marquee, as of May 2026. Past performance is not indicative of future results.
…client performance is strong across the board, and positioning remains concentrated in many of the same winners (Momentum exposure in our Prime book remains very elevated, 92nd 5-year, 62nd 1-year), and is also evidenced by lower turnover in the factor.
Momentum exposure in our Prime book remains very elevated, 92nd 5-year, 62nd 1-year
Source: Prime Brokerage Services; past performance is not indicative of future returns; as of July 2026
Fundamentals in the long leg have been strong and should continue to be constructive in the long run…
This has been primarily driven by the outperformance of the long leg
Source: Goldman Sachs FICC & Equities, Bloomberg; past performance is not indicative of future returns; as of July 2026
…but, as top Goldman Sachs trader, Guillaume Soria notes, negative summer seasonality, market broadening, and high volatility in the factor could exacerbate a sell off in momentum in the short term.
Following such strong performance momentum has historically declined in the subsequent months
Source: GIR; past performance is not indicative of future returns; as of July 2026
Breadth is improving (coming off the lows) while sector skews are extreme. A catch-up rally in lagging cyclicals, software, consumer stocks, or housing would support index performance while simultaneously creating a painful environment for crowded momentum books.
Seasonality is poor for momentum with July underperformance creating prior summer drawdowns, often driven by rallies in the short leg rather than weakness in the longs.
Momentum performance has been challenged in July driven by strong outperformance of the Past Losers (GSXULMOM) since 2021
Source: Goldman Sachs FICC & Equities, Bloomberg; past performance is not indicative of future returns; as of July 2026
We have flagged before that any prolonged sell off in the factor would need a meaningful contribution from the shorts. We continue to favor tactical shorts in momentum in limited loss format:
- 12m Losers (GSXULMOM) 31Jul 106% 115% call spread at 1.64%
- 12m Losers (GSXULMOM) 31Aug 109% 120% call spread at 2.29%
This trend holds over a 20 year period as well
Source: GIR; past performance is not indicative of future returns; as of July 2026
Factor volatility is extreme and positioning is crowded as we enter July.
Volatility of the factor is at levels that have only been exceeded during covid
Source: Marquee PlotTool Pro as of 01 Jul 2026, past performance is not indicative of future returns.
We’re seeing an unprecedented frequency of 5%+ one-day moves across momentum leaders, creating a much more unstable factor environment.
As a result, Momentum had more 1-day selloff greater than 5% than in any full year since 2022, and yet the pair is still up 57% YTD
Source: Goldman Sachs FICC & Equities, Bloomberg; past performance is not indicative of future returns; as of July 2026.
After a strong YTD run, taking some chips off the table could become a powerful catalyst if liquidity dries up this summer, although we note that dips in the winners have continued to be bought.
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