Micro vs. macro headwinds - large momentum unwinds despite steady equity markets

Research evidence excerpt

Micro vs. macro headwinds - large momentum unwinds despite steady equity markets

Portfolio Strategy Research

13 July 2026 | 7:56PM BST

GOAL KICKSTART

Last week, the FOMC minutes signalled support for 3), likely due to a more hawkish Fed repricing. Andrea Ferrario

+44(20)7552-4353 |

unchanged/lower rates if inflation eases, but higher rates if it andrea.ferrario@gs.com

We find several assets, styles, and sectors would help buffer Goldman Sachs International

remains elevated. US trade deficit widened and US Existing

the momentum sell-off. Semiconductors, Growth, Taiwan, Christian

home sales declined. This week markets will watch US CPI Mueller-Glissmann, CFA

Korea and US equities remain the most positively +44(20)7774-1714 | christian.mueller-

and the start of the Q2 reporting season. glissmann@gs.com

correlated with equity momentum. On the other hand, Goldman Sachs International

Over the past 3 weeks, market leadership has been tested, Dividend Aristocrats, Real Estate, and Low Vol stocks have Alessandro Giglio

+44(20)7051-6240 |

with the momentum factor delivering the sharpest sell-off been the least correlated with momentum over the past 2 alessandro.giglio@gs.com

Goldman Sachs International

since the early 2000s (Exhibit 1). As we highlighted a month weeks, followed by Value, Europe, and Infrastructure Giovanni Ferrannini

ago, the cumulative outperformance of the S&P 500 (Exhibit 4). Across asset classes, Bonds (in particular long +44(20)7051-2589 | giovanni.ferrannini@gs.com

Momentum Index relative to the S&P 500 Low Volatility duration) and JPY were negatively correlated too. Goldman Sachs International