Yesterday we highlighted that the volatility market was pricing a small potential move in the S&P 500. The index ended up 1.6% on Nov 4th, well beyond the 1.2% move implied by the volatility market. The Momentum factor* fell more than 6%, placing in the bottom 1% of all daily returns in at least a decade. Prior winners fell almost as much as prior losers rallied. Semiconductors fell below July lows while Consumer Discretionary outperformed Energy by over 9%. Remarkably, the Beta factor* is down almost 3% despite the sharp rally in equities. This comes on the back of its worst month in 15 years, with Beta falling 22% in October. YTD stats are striking. Beta is down 11% and Momentum 14%, while the S&P 500 is up 12%. The simultaneous selloff in Beta and Momentum has echoes of July, but the drivers are different. July was the worst month for Momentum in 15 years, driven by a positioning unwind as investors sold prior winners. October was the worst month for Beta in 15 years, driven by a broader macro shock as tightening financial conditions punished high-volatility stocks. * Morgan Stanley Institutional Equity Division is measuring Momentum here as the performance difference between the top 200 outperformers vs. the bottom 200 underperformers of the Russell 3000 over the past 12 months with a 1-month lag. Beta is measured as the performance difference between the top 15% of liquid Russell 3000 members based on 6 and 24-month betas and the bottom 15% on the same metric.