Yesterday saw a nearly unprecedented collapse for stocks with high price momentum relative to stocks with value characteristics. These two baskets of stocks are most easily tracked using the iShares Momentum (MTUM) and Value (VLUE) factor ETFs.

Momentum stocks are those that have been going up; momentum refers to the upward trajectory of price. Value stocks are generally low multiple, and often have the opposite price attributes of momentum stocks. As shown in the chart below, yesterday was an absolutely catastrophic day for Momentum (MTUM) relative to Value (VLUE). Part of this was a function of rates, with recent upticks in short and long term interest rates driving utilities and other defensive stocks with strong trailing momentum lower, while banks rallied. But it was broader than that too: software got smashed while oil & gas stocks surged, automakers ripped while stable consumer staples names took a hit, and the market generally reversed all of the trends it has been operating on so far this year in a massive stop-out of successful (up to now) trading strategies.