European Snapshot: Price Momentum crash signal deepens

Research evidence excerpt

European Snapshot: Price Momentum crash signal deepens

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European Snapshot

Price Momentum crash signal deepens

Quantitative Strategy

Momentum Indicator continues the crash signal 21 May 2026

Our European Momentum Conviction Indicator fell to 17 (Exhibit 1), remaining below the Quant Strategy

30 threshold that historically signals an elevated risk of a 12m Price Momentum (l/s) Europe

crash over the next 4–8 weeks. The decline is driven by all three inputs: Implied Volatility Paulina Strzelinska >>

(5), Momentum Volatility (9) and Trend Reversal Risk (39), pointing primarily to Quant Strategist

volatility‑driven regime‑shift risk, alongside some evidence of trend acceleration, though MLI+44 (UK)20 7996 7059

not a full‑blown Momentum bubble. paulina.strzelinska@bofa.com

Europe: 5th consecutive outflow

Last week, Europe‑focused equity funds recorded outflows of $1.53bn (5th consecutive See pages 10-14 for definitions of

weekly outflow), with active funds seeing $1.60bn of outflows and passive funds the terminology used in the report.

recording $0.07bn of inflows. Europe Stoxx 600 index constituents recorded $0.86bn of

inflows, with active outflows totalling $0.27bn and passive inflows totalling $1.14bn.

From this week, we will report flows into countries, sectors, styles, exposure baskets Latest European Snapshot notes:

based on stock-level flows within this index.

European Snapshot: Price Momentum

Countries: Core lead YTD, Nordics gain last week at risk of crash 07 May 2026

Core countries (including Switzerland and the UK) recorded $49.75bn of inflows year-to- European Snapshot: Who could profit

date ($0.41bn last week), while Periphery countries saw $9.10bn of inflows ($0.13bn last warn for Q1 ’26? 22 April 2026