PremiaLab Research: Nov. 9 2020 Momentum Event

Dec 9, 2020

Monday, November 9, witnessed a significant drop in the U.S. equity momentum factor. The magnitude of this drop, a –5.9 sigma move for our U.S. equity momentum factor (1), was larger than the then-unprecedented –5.4 sigma move registered during the “Quant Quake” of August 2007. Similarly to the deleveraging in August 2007, the sharp drop was not

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