FW 3000 factor internals
as of 2026-07-28Low vol leads the 20-day tape (+6.1%) · sharpest move: Momentum -2.9σ on 5 days vs FW 3000 · 66% of the index above its 50-day.
The same engine over the FW 3000 — our Russell 3000-style universe of the largest 3,000 US common stocks, self-built with public rules and measured survivorship. Point-in-time quintile portfolios; every move z-scored against its own trailing history. Methodology is public.
How to read this page
Every number is compared to that series' own trailing year. σ (the z-score) counts standard deviations from its norm — |z| ≥ 2 is unusual, 3σ shows up a few times a year. The percentile ranks today against the past year of same-length moves (0th = worst, 100th = best). Where a series has 3+ years of history, tooltips add the era ruler: how the move ranks against everything since 2020. Green means ahead of the index, red behind. Full definitions: methodology.
Rotation
Leadership by trailing 20-day return across long-only factor portfolios. Flips require 3 days of persistence before flagging.
Charts
Computed portfolio series, rebased to 0% at the start of the selected window (z-score and breadth modes show raw values). Click legend entries to toggle series. Powered by TradingView Lightweight Charts.
Performance table
Factor, spread, and sector series, watchlist-style. Click a column to sort; toggle scope and value. σ is the move z-scored vs that series' own trailing year (computed horizons only — MTD/YTD are fixed windows and show no σ). The basket table lives on the Baskets page.
Factor spread monitor
z = current move vs the trailing year of same-horizon moves of the same series; the thin bar marks the percentile. |z| ≥ 2 is the headline flag. Sorted by the selected horizon. The books behind these series — every constituent, weight, and monthly add/drop — are on the Factors page.
| Factor | 1 day | 5 days | 20 days | 60 days | YTD |
|---|---|---|---|---|---|
| Low volatility | +0.9% (+1.1σ) | +4.3% (+2.7σ) | +6.3% (+2.4σ) | +3.1% (+1.4σ) | +0.4% |
| Dividend yield | +0.8% (+0.9σ) | +3.6% (+2.0σ) | +5.5% (+1.7σ) | +1.0% (+0.4σ) | +4.4% |
| Value | +1.2% (+1.6σ) | +3.5% (+2.0σ) | +5.9% (+1.7σ) | +8.2% (+1.9σ) | +12.1% |
| Size | +0.1% (+0.1σ) | +0.4% (+0.1σ) | -2.7% (-1.4σ) | +3.6% (+0.1σ) | +5.6% |
| Quality | -0.4% (-1.8σ) | -0.3% (-1.1σ) | -0.4% (-1.1σ) | +1.3% (+0.5σ) | +2.6% |
| High beta | -3.8% (-2.5σ) | -8.5% (-2.9σ) | -16.9% (-3.5σ) | -3.6% (-1.4σ) | +10.5% |
| Momentum | -3.6% (-2.7σ) | -7.1% (-2.9σ) | -15.3% (-3.7σ) | -0.1% (-0.6σ) | +20.0% |
Sector monitor
Cap-weighted GICS sectors vs benchmark across horizons, z-colored. Sorted by the selected horizon; hover or focus a cell for the percentile.
Factor correlation
Trailing correlation of the daily Q5−Q1 spread series. A block of deep blue means the factors are one crowded trade; red means they hedge each other.
Performance quilt
Monthly total returns of long-only factor portfolios, ranked best → worst, plus calendar YTD. Hover a cell to trace that factor across months. The outlined cell is the FW 3000.
Seasonality —
Estimate revisions
Are analysts raising or cutting numbers? Net revision breadth = share of FW 3000 constituents whose FY1 EPS consensus was raised minus lowered over the trailing 5 sessions (≥3 analysts covering, moves ≥0.1%). Computed from Factor Watch's own consensus archive — snapshotted daily since 2026-07-06 (16 sessions and counting), a series that cannot be bought or backfilled.
Latest (2026-07-27): 401 raised · 309 lowered of 1822 covered — net breadth +5%.
| Session | Raised | Lowered | Covered | Net breadth |
|---|---|---|---|---|
| 2026-07-27 | 401 | 309 | 1822 | +5% |
| 2026-07-24 | 327 | 285 | 1827 | +2% |
| 2026-07-23 | 316 | 289 | 1830 | +1% |
| 2026-07-22 | 354 | 309 | 1822 | +2% |
| 2026-07-21 | 342 | 300 | 1828 | +2% |
| 2026-07-20 | 379 | 327 | 1857 | +3% |
| 2026-07-17 | 383 | 339 | 1856 | +2% |
| 2026-07-16 | 417 | 342 | 1859 | +4% |
| 2026-07-15 | 412 | 313 | 1865 | +5% |
| 2026-07-14 | 411 | 304 | 1866 | +6% |
Who gets the upgrades — by factor quintile
Same breadth measured inside each factor's top and bottom quintile (membership as of the 2026-06-30 rebalance). A positive top-minus-bottom spread means the fundamental tape agrees with the factor.
| Factor | Top quintile | Bottom quintile | Top − bottom |
|---|---|---|---|
| Low vol | +12% | +5% | +7% |
| Quality | +12% | -4% | +15% |
| Momentum | +10% | -7% | +18% |
| High beta | +8% | +3% | +5% |
| Value | -1% | +9% | -10% |
| Div yield | -2% | +2% | -4% |
| Size | -3% | +16% | -18% |