GS Soria Chart of the Day Momentum Make Up Is Changing 14 Sep 2026

GS Soria - Chart of the Day Momentum Make Up Is Changing 14 Sep 2026 Guillaume Soria · Goldman Sachs · Vice President, Global Banking & Markets, FICC & Equities Mon 14 Sep 2026, 12:56pm ET

The momentum regime shift we flagged in August is accelerating as performance of short-term winners has diverged from longer term winners at unprecedented levels. Today, 3m momentum (GSPRHMO3) is up 5% today as 12m momentum (GSPRHIMO) is down 6.7%, the largest underperformance in 5 years. Positioning in the momentum factor has reset materially (41st percentile 1-year), though it remains elevated on a longer lookback (88th percentile 5-year). Longer term winners have struggled amidst the worst AI drawdown (GSPUARTI) since ChatGPT’s launch (down nearly 45% from the highs), while software – the max weight in the short leg of 12m Momentum – has rallied back. Together, these dynamics are reshaping the makeup of momentum.

Short-Term momentum is rotating into software and away from semis, a shift that started with 3m momentum and is now beginning to reach 6-month momentum as the selloff persists. Software vs Semis (GSPUSOSE) is having its second best day on record, so if the trend holds, we would expect to see this dynamic continue into 12m momentum as well. The correlation between AI & Momentum remains extremely elevated (90-96% for 1m to 1yr period), but we expect this prolonged selloff in the AI complex to have lasting impact in the makeup of momentum and as this trend continues, momentum will start decoupling from AI.

In the short term, we continue to think hedging the momentum factor continues to make sense, especially given the volatility of the factor compared to more muted index volatility (e.g. SPX down <30 bps today). If your portfolio has AI exposure, we like hedging with puts on the medium term winners (GSXUHMOM) or AI Beneficiaries (GSTMTAIP), GSTMTAIP 1m 95% put indicatively costs 2.02%, 27d. For other hedging implementations such as Momo ex AI (GSPUMOXX), TMT Momentum (GSTMTMOM), and custom solutions, reach out.

One Day Performance Differential between 12 month and 3 month momentum pairs

AI is having its worst drawdown since the launch of ChatGPT

Future rebalances of momentum baskets are likely to buy Software (both long buying, and short covering) and sell Semis. We run projections using GSPRHIMO and GSPRHMO3.