Despite the ups and downs of the past two months, U.S. equity markets remain near all-time highs and have experienced surprisingly few bouts of broad market volatility this year, especially considering the very significant moves in other non-equity markets, a shift in central bank policy, and the rising probability of a U.S. recession. However, significant sector rotation and style dispersion have generated meaningful internal volatility in the equity markets. In the past few weeks, U.S. equity momentum and value factors have had their sharpest moves in more than 15 years based on our calculations.
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