GS CHART OF THE DAY Momentum Leadership Shifting

GS Guillaume Soria - GS CHART OF THE DAY Momentum Leadership Shifting? 18 Aug 2026 Guillaume Soria · Goldman Sachs · Vice President, FICC & Equities Tue 18 Aug 2026, 5:25pm ET

While Momentum rebounded from the lows following the de-leveraging episode at the end of July, today’s 6.4% sell off High Beta Momentum (GSPRHIMO) underscores how reactive the factor is relative to SPX (-69bps) & SPXXAI (+66bps) and how extreme factor volatility remains relative to index volatility (>20 one day 5% sell offs in High Beta Momentum YTD, more than in the last 5 years combined). The underlying story for 12m momentum has not changed fundamentally and momentum remains highly correlated with the AI trade (GSPUARTI) and Semis vs Software (GSPUSOSE).

However, the underlying composition of momentum is starting to shift. The overlap between 12-month winners and 3-month winners is at multi-year lows, and the overlap between 12-month winners and 3- month losers is near the highs. As a result, we are seeing our 3m momentum pair (GSPRHMO3) diverging from 12m Mo after trading largely in line YTD. This reflects how the two strategies are evolving differently and how market leadership could start shifting, especially if this dynamic starts to bleed into 6 month momentum as well:

• Software is now the largest weight in the long leg of 3m momo (GSXUHMO3) while being the largest weight in the short leg of 12m momo (GSXULMOM)

• Conversely, the Semis/AI complex has moved into the short leg of 3m momentum (GSXULMO3) while being max long for 12m momo (GSXUHMOM)

While today's move may ultimately prove to be another de-grossing event ahead of late-August seasonality, the GS prime book shows cleaner (yet still elevated) positioning with overall book Gross Leverage in the 48th percentile 1-year, 90th percentile 5-year lookback and momentum exposure now in the 48th percentile on a 1 year lookback and in the 90th percentile on a 5 year lookback. We remain constructive on momentum longer term and would expect consensus positioning to rebuild into September. Elevated factor volatility means the path is likely to remain choppy as investors reassess whether the next phase of leadership comes from AI beneficiaries or a broader software recovery.

This year, Mo’ has had more 1-day selloffs >5% than in the last 5 years combined

Overlap of stocks between winners and losers across different tenors is breaking down

Momentum across different tenors (3m GSPRHMO3 vs 12m GSPRHIMO) have been moving in line YTD and starting to diverge