Fish Stew! Momentum Strategies Get Creamed (Or Fish’d) As Atlanta Fed GDP For Q4 2019 Hits 1%

While the S&P 500 and Dow Jones Industrial Average hover near all-time highs, something is brewing .. and it smells like fish stew (or fish tacos at Brion’s Grille).

The Dow market-neutral momentum (blue line) is plunging and it coincides with short-momentum gains (red line).

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Momentum ETFs are seeing a large outflow.

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MTUM, the iShares Momentum Factor ETF, has seen large outpourings of funds.

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I wonder if the Atlanta Fed’s GDP NOW forecast of 1% GDP for Q4 2019 has anything to do with the exodus from Momentum indices?

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Yes, I smell fish stew rather than red roses.

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