Momentum Trade Plunges the Most on Record in Rotation Frenzy
- Recent winners underperform as vaccine news fuels rotation
- Strategists warn momentum strategy is expensive and crowded
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One of the hottest quant strategies of this bull market is taking a beating in Monday trading, in one of the most dramatic equity rotations of the coronavirus era.
After Pfizer Inc. revealed its Covid-19 vaccine prevented more than 90% of infections in a large-scale study, the momentum factor -- which buys the past year’s winners and dumps its losers -- plunged 3.4% in early New York trading. That’s the biggest intraday drop since records began in 2000.