US momentum factor GSPRHIMO up 7%, sharply outpacing EU high beta momentum basket which gained less than 3% over 2 days
@GoldmanSachs sales desk flagged a notable factor dislocation on September 9: the US momentum factor (GSPRHIMO) is up 7%, while the comparable EU high beta momentum basket gained less than 3% over 2 days.
That divergence is sharp even accounting for normal US/Europe factor spread. Within the US momentum move, semis are higher and software is lower, suggesting the rotation is sector-specific rather than a broad risk-on lift.
The EU momentum basket's relative underperformance over the same window suggests the factor catch-up is a US-specific dynamic rather than a global reflation trade.
@GoldmanSachs sales desk flagged a notable factor dislocation on September 9: the US momentum factor (GSPRHIMO) is up 7%, while the comparable EU high beta momentum basket gained less than 3% over 2 days.
That divergence is sharp even accounting for normal US/Europe factor spread. Within the US momentum move, semis are higher and software is lower, suggesting the rotation is sector-specific rather than a broad risk-on lift.
The EU momentum basket's relative underperformance over the same window suggests the factor catch-up is a US-specific dynamic rather than a global reflation trade.