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Momentum (Mo) factor unwind intensified after 'Warsh' and accelerated over the…

2026-07-29 · 19:54 UTC ·@jvisserlabs ·0 min read

Brief

Jordi Visser (@jvisserlabs) reports the momentum (Mo) factor unwind worsened post-Warsh, with a 25-year rolling 4-day ROC of the GS HF VIP index vs. the SPX showing acceleration over the last four days. He flags crowded hedge fund positioning into month-end and notes the MS Sector Neutral Momentum Factor dropped another 2%+ on 2026-07-29, capping a speed-crash month for momentum.

Why it matters

Momentum (Mo) factor unwind intensified after 'Warsh' and accelerated over the last four days, per a rolling 4-day rate-of-change (ROC) spanning 25 years of the GS HF VIP index relative to the SPX.

Key details

  • Crowded hedge fund positioning into month-end is showing continued unwinds in momentum exposures.
  • MS Sector Neutral Momentum Factor fell another 2+% on 2026-07-29, which the author calls the close of a 'speed crash' month for momentum.
Source evidence

The Mo factor unwind has worsened post Warsh. This continues to show up in crowded hedge fund positioning into monthend. This is the rolling 4 day rate of change back 25 years of the GS HF VIP index relative to the SPX. The unwinds continue and have gathered pace the last four days.

Jordi Visser (@jvisserlabs)

In an already historic negative month for momentum factor, most charts I have seen highlight tech mo or mo charts not sector neutralized. This is the MS Sector Neutral Momentum Factor monthly performance. It is down another 2+% today. Closing out a speed crash month for mo.

— https://nitter.net/jvisserlabs/status/2082481145275376121#m