Momentum demolished and the index goes nowhere.

S&P 500
-0.13% (July)
+2.62% (August)
-0.45% (September)
-0.93% (October)

GSPRHIMO (Goldman Sachs Momentum Basket)
-30.19% (July)
-13.67% (August)
+26.96% (September)
-18.60% (October)

-- @GoldmanSachs