The value rally that never was

Luc Dumontier
23 Nov 2020

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The announcement of promising results for a Covid-19 vaccine on November 9 caused stocks that had benefited during pandemic-related lockdowns to tumble. The correlation of returns for S&P 500 stocks over this day with the returns of the same stocks between February 20 and October 30 was -66%.

At face value, this looked like a rotation between factors. Long/short momentum and value equity premia made headlines in the financial press, with daily returns that represented more than 10 times their

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