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The Value Rally that Never Was

01 December 2020

LFIS analyses the historical rotation from momentum to value stocks following Pfizer’s announcement on its coronavirus vaccine.

At face value, November 9 looked like a rotation between momentum and value factors. Long/short momentum and value equity premia made headlines in the financial press, with daily returns that represented more than 10 times their historical daily standard deviations. However, while some equity value bank indexes have rebounded, others have seen only a small rebound or none at all. Was the hoped-for rebound in the value investment just an illusion? Our analysis suggests it was, at least in part.