“Value is again trading at record cheapness in terms of relative valuation, making it susceptible to another squeeze,” strategists Bram Kaplan, Shawn Quigg and Marko Kolanovic wrote in a July 20 note. Factors including better-than-expected earnings, an inflection in Covid-19 trends and positive vaccine news could trigger the upmove, they wrote.
JPMorgan has been predicting a rotation into value for some time, with Kolanovic saying in December that there was “extraordinary opportunity” in the shares heading into 2020. Earlier this month, he said that the market might not be properly pricing factors like the economic hit from the virus, which could result in a “rapid momentum selloff and value rally.”
Source : Bloomberg
JP모간 퀀트&파생상품 헤드 마르코 콜라노비치는 지난 20일 고객들에게 보낸 자료에서
모멘텀 스타일 주식들이 굉장히 고평가 되어있다면서
모멘텀 스타일 주식들에서 대량 매도(rapid selloff)가 발생해 밸류 스타일 주식으로 스타일 로테이션 순환매가 발생할 수 있다고 주장함
이에 대해서는 러셀2000 옵션 매수로 대응하는것이 적절할 것이라고 주장함