November Factor Upheaval: Top Quant Funds Caught in Epic Rotation

Some of the industry's biggest quant names, including AQR, Renaissance and Two Sigma dropped sharply in November after the positive news from Pfizer's vaccine trial spurred a violent rotation out of high-flying tech stocks (Growth, Momentum factors) into cyclical, beaten-down Value stocks. The below chart from GS shows the reaction of various sectors (H/T HumbleStudentoftheMarkets):

Two Sigma's Venn platform provides further details on the the performance of different factors in November (click to enlarge):

Momentum had one of its worst month in history. Other factors with notable pullbacks were Low Risk and Quality. Low-leveraged and highly profitable companies underperformed more indebted and less profitable companies. Not surprsing as Low Risk and Momentum have been quite correlated in recent months (think FAAMG stocks).

Here's another look at Value and Momentum performances relative to history from JPM:

Additionally, much of the damage was done Nov 6-Nov 10. The Value-Momentum spread was relatively stable the rest of the month: