There Is A Huge Quant Rebalance Next Friday: Here's Who Wins And Who Loses

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by Tyler Durden
Saturday, Mar 13, 2021 - 09:11 AM

Over the past month, market volatility has been driven by a strong rotation out of Momentum and Growth stocks as inflation/growth expectations have soared higher. Remarkably, JPMorgan's Delta One desk writes that its 12 month L/S Momentum index has more than given back all of its 2020 outperformance:

The February rout, which resulted in the biggest outperformance of value stocks over growth since the bursting of the dotcom bubble...