Global Quantitative Insights: The Momentum Sell-off: Style Rotation or Crowded Unwind?

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Global Quantitative Insights: The Momentum Sell-off: Style Rotation or Crowded Unwind?

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31 Jul 2026 18:18:01 ET │ 68 pages

Global Quantitative Insights

The Momentum Sell-off: Style Rotation or Crowded Unwind?

CITI'S TAKE

Europe

The sharp reversal in Momentum has become the defining factor event of

recent weeks, with investors rotating away from the AI tech-oriented David T Chew AC

winners and back towards valuation-sensitive exposures. While the +44-20-7986-7698

breadth of Value outperformance, rising style dispersion, and falling david.chew@citi.com

correlations point to a meaningful shift in leadership, the evidence remains

regionally uneven. Developed Markets are exhibiting the early

characteristics of a broader Value-led rotation, Emerging Markets US

particularly continue to display the hallmarks of a positioning-led

corrections, with losses concentrated among former Momentum leaders. Richard W Schlatter AC

Our interpretation is therefore one of an emerging rotation in DM alongside +1-212-816-0591

a correction in EM, rather than the start of a synchronized global change. As richard.w.schlatter@citi.com

such, we view the recent Momentum sell-off as a reset in leadership rather

than a definitive end to the broader Growth and Momentum cycle. Anju Bhandari AC

+1-212-816-3812

Momentum under pressure as Value reasserts itself — July marked a sharp reversal anju.bhandari@citi.com

in factor leadership as Momentum continued to weaken. After leading performance

across most regions during the first half of the year, Momentum has surrendered

most of its year-to-date gains in a matter of weeks, with the decline particularly Asia

pronounced across AC Asia ex-Japan. At the same time, Value has re-emerged as