Bet on Value Cautiously,Trim Momentum Selectively
In February, we have observed a broad rotation away from momentum and towards value. This note suggests ways to trim momentum exposure selectively and make a cautious bet on value
Broad rotation away from momentum and into value. Value factors have performed well in both Europe and APxJ & EM in February, but not in Japan. Price momentum has experienced a substantial reversal across regions, high
daily volatility. High quality/ low beta has outperformed junk/high beta in developed markets, while the opposite occurred in APxJ & EM, and mega/large caps have underperformed small caps globally. In that environment, our MOST model has performed well in Europe and APxJ & EM (Q1-Q5 spreads of +1.7% in both regions), but poorly in Japan.