Via the excellent Damien Boey at Credit Suisse:
Value rotation continued in earnest overnight, with sector-neutral value factors adding 0.7%, while momentum factors detracted 1.9%, and low-beta factors lost 0.5%. The value index is back to its mid-April highs, while the momentum index is now materially down year-to-date, having experienced stellar performance through the middle of the year. The reversal of fortunes in factor land has been dramatic.
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