Goldman’s trading desk says the internal structure of the US equity momentum
factor is shifting. Overlap between 12-month and 3-month winners has dropped to
multi-year lows, while overlap of 12-month winners with 3-month losers is near
multi-year highs, causing the 3-month momentum portfolio to diverge from the
12-month portfolio. Sector weights illustrate the shift: software is the biggest
weight on the 3-month momentum long side and the biggest weight on the 12-month
momentum short side. On the same trading day, semiconductors fell about 6.5%
while software rose about 1%, underscoring a reassessment of short-term winners
within tech.
