S&P 500 factor internals computed from constituent data — point-in-time quintile portfolios, not ETF proxies. Every move z-scored against trailing history. Methodology is public.
Leadership by trailing 20-day return across long-only factor portfolios. Flips require 3 days of persistence before flagging.
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.
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.
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.
Cap-weighted GICS sectors vs benchmark across horizons, z-colored. Sorted by the selected horizon; hover a cell for the percentile.
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.
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 S&P 500.