JPMorgan Trading Desk: The Momentum "Unwind" Is The Primary Topic For Clients

Below we excerpt some thoughts from the latest note by JPM's head of Market Intel, Andrew Tyler, who focuses on yesterday's biggest story, the sudden decompression of the momentum trade. 

The Momentum “unwind” was the primary topic in yesterday’s session. Our Momentum Index, JPMPURE Index, which is a L/S index was down more than 5% at one before closing down 4.0%, -2.9z. What triggered this?