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
Restricted content
You must be an EQD+ subscriber to view this page. Either sign in or see below on how to request a trial.
Get access now
Request access today
Questions? Need access for multiple users?
Contact eqdplus@eqderivatives.com