The historic negative relationship between the spread and momentum factor played out in October, as the latter posted its worst month since July while the former led factors' gains.
Momentum held longs in antipodes and shorts in USD and EUR, the basket lost a little over 4.0% in October. This is a continuation of the weak performance posted over Q3, where the factor averaged a monthly loss of 2.4%, the worst in our factors list.
The spread factor realized gains of 2.3%, its best month since July, proving its historical negative relationship to momentum repeats.
Our model composite, holding a range of factors, extended gains in October, up 0.8%. So far in 2024, the composite has seen gains in 8/10 months.
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