Vaccine rally showed value flawed as momentum hedge, quant says

Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash

Vaccine stock effect

It was the news value investors had been waiting for. On November 9, Pfizer announced that its coronavirus vaccine was found to be more than 90% effective in preventing Covid-19 – prompting the sharpest rotation from momentum to value stocks on record.

Some investors hailed it as the start of a long-awaited recovery in value factor strategies, after years of poor performance. But on closer inspection, it looks more like a false dawn.

“It’s really been a disastrous year for value during the

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