Another Momentum Unwind

On May 7, 2026, the GS High Beta Momentum index dropped over 8%, a top-ten historical move driven by profit-taking in AI themes and high investor positioning. While valuations are stretched, Goldman Sachs notes that these unwinds have historically provided opportunities to buy the dip within a week.

Key Takeaways

• 1.High Beta Momentum (GSPRHIMO) experienced a significant 8% one-day drawdown on May 7, 2026, marking one of the top ten moves in five years.
• 2.The unwind is driven by profit-taking in secular AI themes and stronger-than-expected software earnings, creating a divergence between momentum legs.
• 3.Investor positioning in momentum is at extreme levels, reaching the 100th percentile on a 5-year basis within the GS Prime Book.

Table of Contents

• Momentum Unwinds have historically retracted within 1w
• Momentum correlation to AI is near all-time highs
• 1m Volatility of momentum is in the 96th percentile
• YTD Performance of factors relative to today’s moves
• YTD Performance of AI themes relative to today's moves
• Breakdown of the High Beta Momentum Pair and Factor Exposure
• High Flying AI Themes have high loading to the momentum factor
• New Developments in GS Custom Baskets

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