What To Expect In Today's "Monster" Momentum Quant Rebalance

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by Tyler Durden
Wednesday, May 26, 2021 - 04:40 PM

While tomorrow's data calendar is chock full of closely-watched data, including the latest Initial and Continuing Claims, the second revision to the Q1 GDP print, and most importantly the Fed's favorite inflation indicator, the core PCE, it's debatable that any of these will have much of a market impact especially now that the market appears confident that the peak inflation impulse is behind us and the Fed is unlikely to unveil tapering at Jackson Hole.

However, one thing which could have a dramatic impact on tomorrow's market is the massive rebalancing of BlackRock's Momentum Factor (ticker MTUM) ETF, in which the $16 billion exchange-traded fund is set to see an "astounding" 68% of its portfolio holdings change in favor of value shares over tech as it chases the hottest trends on Wall Street.