Goldman Sachs warned on September 15 that momentum factors are experiencing an unprecedented internal split, with the gap between short-term and long-term momentum performance widening to the largest level in five years. The AI sector's deepest drawdown since the launch of ChatGPT is fundamentally reshaping the logic underpinning momentum trading strategies.

Strategist Guillaume Soria noted in the report that the Goldman Sachs index tracking AI-related stocks (GS PUARTI) has now fallen nearly 45% from its peak, marking its steepest decline since ChatGPT's debut. On that day, the three-month momentum index (GS PRHMO3) rose 5%, while the twelve-month momentum index (GS PRHIMO) dropped 6.7%, creating a single-day performance spread that was the widest in five years.

Goldman Sachs explicitly advised that for portfolios with AI exposure, investors should consider hedging by purchasing put options on the mid-term winners basket (GS XUHMOM) or the AI beneficiary stocks basket (GS TMTAIP). The report stated that the substantial overlap between AI trading and momentum strategies has become a key hedging focus.

Goldman Sachs believes that the continued weakness in the AI sector will profoundly affect the composition of momentum factors. As software gradually replaces semiconductors as a major driver of short-term momentum, the previously tight correlation between momentum and AI trends may progressively decouple.