Momentum Massacre Drags Down Overall Market
As we detailed last night, the market is experiencing a strong degrossing in recent narrative themes, and that is most evident in Goldman's high-beta momentum basket which is getting slammed again this morning…
It appears that momo meltdown is finally bleeding over into the broad markets…
The outperformance from the momentum factor this year (pure factor up 7% our baskets up between 15 and 35% depending on the pair) has been driven by the long leg…
…which could be at risk of giving up more of the gains as clients protect performance going into year end…
The last six days have seen momentum longs dumped and momentum shorts bid (until today), hitting the overall momentum market with a double whammy.
The drawdown in Momentum may be at risk to continue as November through January is the worst 3 months period for Momentum…
For a tactical market hedge Goldman likes limited loss on their X7 (Top 500 Ex Mag 7) index, given hedges are outright cheaper than S&P 500 hedges.
More here from the rest of Goldman's Sales & Trading team available to pro subs.
Tyler Durden
Wed, 10/22/2025 – 10:56