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MOST L/S EQUITY EMERGE UNSCATHED FROM FACTOR ROTATIONS

A massive momentum reversal occurred earlier in the month, when Pfizer announced interim results of its Covid-19 vaccine. On November 9th, the U.S. Dow Jones Momentum Index fell by a record -14% in a single day. In this long/ short index, value stocks were on the short side and they experienced a massive rebound. Over the most recent days, such rotation out of momentum/ quality/ low beta into value/ size stocks has continued...
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