Goldman Sachs Warns: Largest Divergence in AI Momentum Trading in Five Years
nashnova research
Goldman Sachs flagged a five-year-record gap between short- and long-term momentum factors in a single session, as AI stocks retrace nearly 45% from peak and force a structural rotation inside the momentum trade — away from semis, toward software.
What just broke inside the momentum trade?
The 3-month momentum index rose 5% on the day while the 12-month index fell 6.7% — the widest single-day gap in five years.
This means → short-term winners and long-term winners split completely. Buying last year's top performers now loses money.
In plain terms = momentum trading — the strategy of riding what's been rising — is undergoing an internal "blood transfusion." The stocks that led over the past year are now the ones being sold.
How deep is the AI pullback?
Goldman's AI theme basket (GSPUARTI) is down nearly 45% from its peak — the deepest drawdown since ChatGPT's launch.
This reflects an extreme linkage: the correlation between the momentum factor and the AI theme still runs between 90% and 96% across 1-month to 1-year horizons.
Goldman expects that correlation to loosen as the AI pullback continues, gradually decoupling the momentum factor's composition from AI.
Where is the money moving?
Software staged a sharp rebound — the software-vs-semis relative performance index (GSPUSOSE) posted its second-largest daily gain on record.
This means → software had been the heaviest-weighted sector in momentum's short leg. Now short covering and fresh long buying are happening simultaneously, redirecting flows from semis into software.
In plain terms = the stocks that momentum strategies had been shorting hardest — software names — are flipping into buy targets. Semis, previously the long leg, are becoming the sell.
Is the positioning still crowded?
On a 1-year lookback, momentum positioning concentration has dropped to the 41st percentile — no longer crowded.
On a 5-year lookback it remains at the 88th percentile — still elevated.
This means → the most acute short-term crowding has begun to unwind, but longer-dated accumulated positions have not fully cleared. Further adjustment room remains.
How does Goldman suggest hedging?
Momentum factor volatility far exceeds the broad market — the S&P 500 fell less than 0.3% on the day while momentum indices swung violently.
Goldman recommends investors with AI exposure hedge by buying puts on the mid-term momentum basket (GSXUHMOM) or the AI beneficiary basket (GSTMTAIP).
Example: a 27-day put on GSTMTAIP struck at 95% of spot carries a reference cost of roughly 2.02%.
What to watch next?
The key test: whether the momentum factor can complete its rotation into software while the AI pullback continues.
And whether that rotation propagates from the 3-month momentum layer up to the 12-month layer — if it does, the structural reshuffle is deep, not just short-term noise.
In plain terms = right now only short-term momentum has changed direction; long-term momentum has not followed. If the long end turns too, this rotation is for real.
市场有风险，内容仅供研究参考，不构成投资建议。