The collective three-day move in U.S. “Value / Growth” has been the largest since October 2008–a 4.3 standard deviation event relative to the returns of the past 10 year period–while conversely “1Y Price Momentum” sees its largest three-day drawdown since the Nov ’16 election post-trade.
Enormous underperformance of popular longs relative to shorts speaks to “net-down” behavior at the very least across Equities-funds, although seeing pockets of outright short squeeze speaks to a fair-bit of “de-grossing” as well—ESPECIALLY across the quant market-neutral universe.
The question now becomes whether Value continue to outperform Growth if the tape turns to an outright ‘risk off’ one over the next few weeks of seasonal weakness, prior to commence of heavy (Tech-led) buyback.
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