Momo crushed

Via Damien Boey at Credit Suisse:

Overnight, US 10-year bond yields surged by another 9bps. Over the past 5 days, bond yields have risen by almost 30bps. Catalysts for the bond sell off include reports of German fiscal stimulus in the pipeline, and a more conciliatory tone to US-China trade negotiations. We cannot also help but feel that positive economic data surprises are contributing to the bearish mood for bonds as well.

Within the equity market, momentum factor performance has been absolutely crushed over the same period, generating -12% returns on a sector-neutral basis. Sector-neutral momentum factor performance is now negative for the year-to-date. On the flipside, value factor performance has surged, returning almost 9% over the past 5 days. To be sure, value factor performance remains negative year-to-date – but the sector-neutral long-short index is now at its highest level since mid-May, when our proprietary timing signals really started to favour the factor.

There are 708 words left in this subscriber-only article.

Start your free 14-day trial today!

Comments are hidden for Membership Subscribers only.