Daily Movers: Momentum Factor MTUM Fell 4.0%

Friday's tape read as a momentum unwind, with pressure concentrated in prior leaders. Momentum Factor MTUM fell 4.00%, Semiconductors SMH slid 3.97%, South Korea EWY lost 3.77%, and Value VLUE declined 2.20%. Health Care XLV rose 3.03%, Biotech IBB gained 2.01%, Gold Miners GDX climbed 1.76%, and Real Estate XLRE added 1.46%. The broader backdrop shows selective trend extension and selective exhaustion. XLV and IBB are overbought, and volatility is compressed in Energy XLE and Broad EM Bond EMB.

Equity: Defensives led, Korea and value reversed

Movers

Outperformers: Healthcare XLV +3.03% (3M: +10.5%), Real Estate Sector XLRE +1.46% (3M: +13.3%)

Underperformers: South Korea EWY -3.77% (3M: +64.4%), Value Factor VLUE -2.20% (3M: +40.5%)

3M Leaderboard

Strong: South Korea EWY +64.4%, Taiwan EWT +46.7%, Value Factor VLUE +40.5%

Weak: Energy XLE -11.9%, China Large Cap FXI -8.9%, China MCHI -7.7%

Fixed Income: Treasuries led, credit lagged

Movers

Outperformers: 7-10yr Treasuries IEF +0.25% (3M: +1.5%), 3-7yr Treasuries IEI +0.20% (3M: +1.0%)

Underperformers: Preferred Stock PFF -0.26% (3M: +1.3%), High Yield HYG -0.06% (3M: +2.7%)

3M Leaderboard (within FI scale)

Strong: EM Sovereign Bonds EMB +4.7%, Muni Bonds MUB +2.7%, Investment Grade Credit LQD +2.7%

Weak: 3-7yr Treasuries IEI +1.0%, Short TIPS VTIP +1.1%, Int. Treasuries VGIT +1.1%

Specialty: Biotech and miners rallied, momentum and semis reversed

Movers

Outperformers: Biotechnology IBB +2.01% (3M: +13.4%), Gold Miners GDX +1.76% (3M: -6.5%)

Underperformers: Momentum Factor MTUM -4.00% (3M: +36.9%), Semiconductors SMH -3.97% (3M: +60.6%)

3M Leaderboard

Strong: Semiconductors SMH +60.6%, Momentum Factor MTUM +36.9%, Infrastructure PAVE +17.3%

Weak: Ethereum Trust ETHA -23.1%, Bitcoin Trust IBIT -12.8%, Gold GLD -6.7%

Notable Setups

Equity Trend-break risk: South Korea EWY and Value Factor VLUE (today's laggards, 3M leaders)

Equity Reversal setup: Energy XLE (vol compression building in 3M underperformers)

Equity Volatility Compression: India INDA, Energy XLE

Equity Volatility Expansion: US Technology IYW, Nasdaq 100 QQQ, S&P Growth SPYG

Equity Overbought: S&P SmallCap Growth SLYG, Healthcare XLV

Equity Oversold: China Large Cap FXI, China MCHI, Communication Services XLC

Fixed Income Counter-trend rally: 3-7yr Treasuries IEI (top mover today +0.20%, 3M laggard +1.0%)

Fixed Income Volatility Compression: Aggregate Bonds AGG, Global Bonds BNDX, EM Sovereign Bonds EMB

Specialty Trend-break risk: Momentum Factor MTUM and Semiconductors SMH (today's laggards, 3M leaders)

Specialty Volatility Expansion: Ethereum Trust ETHA, Biotechnology IBB, Bitcoin Trust IBIT

Specialty Overbought: Biotechnology IBB

Cross-Asset Read

Friday's cross-asset pattern stayed a momentum unwind, with pressure centered in prior leadership and gains concentrated in defensive and idiosyncratic pockets. The 3M leadership stack is concentrated in EWY, EWT, VLUE, SMH, MTUM, and PAVE; Friday broke from that standing trend as EWY, VLUE, SMH, and MTUM fell while XLV and IBB extended their own strong 3M advances. Volatility is expanding in IYW, QQQ, SPYG, ETHA, IBB, and IBIT, while compression holds in INDA, XLE, AGG, BNDX, and EMB; the cross-section is selective, with legacy momentum under pressure and risk conditions split by cohort.

Romain Gandon
CEO, Quantlake

Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.