Something just snapped under the surface of this market.
Goldman’s High Beta Momentum basket peaked on June 22. Just three weeks later, it has cratered 32.8%. To put that in perspective, the only comparable unwind in the chart’s history occurred in late 2021, when the basket dropped 34.2% right before the bruising 2022 bear market.
Major indexes look completely fine. They barely nudge, masking the damage. But underneath that calm exterior, the absolute hottest stocks of this cycle are getting liquidated at breakneck 2021 speed. The intraday action tells the whole story: massive gamma squeezes in the morning, terrifying air pockets by the afternoon, and violent, erratic sector rotation all day long.
Indexes tell you the weather. Factor baskets tell you what is actually happening.
The Anatomy of the Rotation
Money isn't necessarily leaving the market; it is aggressively shifting out of extended AI, tech, and semiconductor names and hiding in unloved, defensive, or value sectors.
The Tech Exodus: Mega-cap tech names like Nvidia (NVDA), Advanced Micro Devices (AMD), and Broadcom (AVGO)—which heavily crowded the momentum factor—are bearing the brunt of the air pockets as institutional leverage unwinds.
The Beneficiaries: Cash is flooding into small caps and value. The iShares Russell 2000 ETF (IWM) and the SPDR Dow Jones Industrial Average ETF (DIA) are catching huge inflows as investors hunt for cheap, non-tech exposure.
If you want to track the velocity of this factor unwind, keep these on your radar:
iShares MSCI USA Momentum Factor ETF (MTUM): The cleanest way to watch the momentum trade bleed out or attempt to stabilize.
Invesco S&P 500 Top 50 ETF (XLG): Tracks the mega-caps. Watch this to see if the liquidation spreading from high-beta tech begins to drag down the broader mega-cap pillars.
Invesco S&P 500 Equal Weight ETF (RSP): Because it weighs every stock equally, comparing RSP against the market-cap-weighted S&P 500 (SPY) will show you exactly how violent the underlying rotation is.
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