Global Quantessential Style: Record rotation

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Global Quantessential Style: Record rotation

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Global Quantessential Style

Record rotation

Earnings/macro/ceasefire are driving large style rotation 13 May 2026

A strong global earnings cycle and improving macro data coupled with the US-Iran Quant Strategy

ceasefire are driving a dramatic rotation into Risk and Momentum. In fact, the Global

outperformance of Risk and Momentum in April was the largest on record (data since

1988). In contrast, Value and Quality underperformed during the month. The rotation

has persisted in early May with Momentum and Risk performing best while Quality has

underperformed. Improving macro and earnings data support the continuing equity

market rally and the rotation towards Risk and Momentum.

April: Significant rotation within styles

In April, the Global Risk style outperformed by 13.8%, Momentum outperformed by

13.5%, and Growth outperformed by 9.1%. In contrast, Value (-2.6%) and Quality (-2.4%)

both underperformed. Rotation was also significant within styles with Cyclical Growth Nigel Tupper >>

outperforming Stable Growth (by 5.2%), Cyclical Quality outperforming Defensive QuantMerrill StrategistLynch (Australia)

Quality (8.8%), and Cyclical Yield outperforming Defensive Yield (9.0%). +61 2 9226 5735

nigel.tupper@bofa.com

Boosters outperformed in all regions AmarQuant VashiStrategist>>

In April, the Global Boosters outperformed the Global Bunkers by 15.6% as stocks with Merrillamar.vashi@bofa.comLynch (Australia)

cyclical characteristics bounced. The Boosters outperformed the Bunkers in every Sumuhan Shanmugalingam >>

region, and the outperformance was most dramatic in Emerging Markets (17.5%). Quant Strategist

Merrill Lynch (Australia)

sumuhan.shanmugalingam@bofa.com