Goldman Sachs: US Momentum Factor Leads, Russell 2000 Lags Behind S&P 500

Goldman Sachs notes that Growth stocks have consistently outperformed Value stocks since the Great Financial Crisis. The US momentum factor has shown exceptional performance with a 3-month Sharpe ratio nearly double that of the S&P 500. While the Russell 1000 Growth to Value ratio is at a record high, the S&P 500 Growth to Value ratio is not. The Russell 2000 is lagging behind the S&P 500 year-to-date, potentially marking its fourth consecutive annual decline. Valuations at the top of the S&P 500 show richer forward price-to-sales ratios for different segments.