Thread by @MikeWShell

#Momentum leads #Value

#Momentum leads #Value over the past 30 days, too.

In fact, #Momentum leads #Value on the downside as well, by not drawing down as much. I said last week momentum was positioned defensively. The rotations this time has helped on the downside.

... but over the past year, #momentum has actually experienced materially lower downdrawns than pure value.

... but that isn't always the case, sometimes #momentum trends with #value on the downside, and sometimes it trends down even more.

now we add in $SPX and compare it to #momentum and #value. Value had deeper drawdowns the past year.

The $SPX $SPY had stronger #Momentum momentum since October than momentum. The momentum index shifted more defensively.

as with Value vs. #Momentum, we see the defensive shifts held up better on the downside than #SPX, but again, it doesn't always work out that way.

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