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Systematic funds recorded their worst daily performance since 2023, reports showed, as a significant momentum-based market decline moved through markets.
The session stands as the sharpest single-day loss for the strategy category in more than two years. The momentum-based character of the decline is central to the damage.
Systematic funds are built to track and amplify prevailing trends.
A sharp momentum reversal hits those strategies from both directions at once: positions built on the trend lose value while the speed of the move compresses the window to adjust.
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