Via the excellent Damien Boey at Credit Suisse:
The “quant quake” is happening again.
Overnight, and indeed, over the past week, we have seen a very sharp rotation into value factors and out of momentum factors. This follows on from the sharp rotation we saw from late August to early September. To be sure, there was a brief intercession in the rotation from mid-September to early October. But now, on a sector neutral, equally-weighted basis, the value index has broken through its September peak, while the momentum index is close to re-testing its September lows.