Factor Watch — Daily briefs

High beta's long-short spread falls 13.1% vs the S&P on the week while value, low volatility and dividend yield post their best runs in a year

Fri, 16 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,661.22-1.1%

VIX20.0+21%

10-year5.09%-1bp

Breadth46%above 50-day · 28% a month ago

In brief

The story

The move. High beta's long-short spread lost 13.1% against the S&P on the week, a z of -3.2 at the 0th percentile of the trailing year and the second-worst five-session run since January 2020. Technology took 5.93 points of it. Ciena, Coherent, Lumentum, Hewlett Packard Enterprise and Flex each fell 25% to 26% in the long leg, about a quarter point apiece and 9% of the move between them. Barron's reported chip equipment stocks notching historic losing streaks; momentum, in session three of its slide, lost 5.3% with Micron -15%, AMD -13%, Dell -23% and Lam Research -17%.

The other side. The same names sit in value's short leg, and the value spread gained 8.0% on the week, z +3.2 and its best five sessions in a year. Low volatility beat the index by 5.3%, dividend yield by 5.7% and Consumer Defensive by 7.3%, with Chevron, Coca-Cola, Mastercard, Visa and Procter & Gamble up 4% to 7%. Low volatility now leads the trailing-20-day tape, its first session on top, replacing quality.

The market. The S&P closed at 7,661.22, down 1.07% on the day and 1.9% on the week; the VIX rose 21.4% to 19.99 and the 10-year yield slipped a basis point to 5.09%. Breadth is still 46% above the 50-day average, up from 28% a month ago. On relative daily returns over 60 sessions, high beta and dividend yield long books run at r=-0.85, little changed from -0.84 twenty sessions earlier on overlapping windows. Travelers reported 9.18 against 7.39 expected; Fifth Third, Steel Dynamics and W.R. Berkley report Monday.

Who did it · 9% of the shortfall in these names

Name	Leg	5d	Contrib
CIEN Ciena Corporation	long	-26%	-0.26pp
COHR Coherent, Inc.	long	-26%	-0.26pp
LITE Lumentum Holdings Inc.	long	-25%	-0.25pp
HPE Hewlett Packard Enterprise	long	-25%	-0.25pp
FLEX Flex Ltd.	long	-25%	-0.24pp

By sector: Technology cost 5.9pp; Financial Services cost 1.6pp; Industrials cost 1.6pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-1.1% -1.5σ	-1.9% -1.3σ	+0.1% -0.4σ	+12.4%
Dividend yield	+2.1% +2.0σ	+5.7% +2.5σ	+1.5% +0.4σ	+4.3%
Low volatility	+2.1% +2.2σ	+5.3% +2.5σ	+3.1% +1.0σ	-4.1%
Size	+1.0% +1.1σ	+4.5% +2.3σ	+1.4% +0.5σ	-0.0%
Value	+1.5% +1.8σ	+4.3% +2.2σ	+0.3% +0.0σ	+4.5%
Quality	-0.5% -1.6σ	-0.8% -1.3σ	+0.8% +0.2σ	+5.1%
Momentum	-1.3% -1.3σ	-5.3% -2.7σ	-4.1% -1.4σ	+12.9%
High beta	-2.4% -1.9σ	-7.6% -2.9σ	-5.7% -1.5σ	+10.0%

Also

Reported today: CFG beat (1.41 vs 1.39); MTB beat (5.08 vs 4.93); RF beat (0.73 vs 0.662) +2
Memory & Storage basket -23.0% vs S&P over 20 sessions
Optical Interconnect basket -14.2% vs S&P over 20 sessions
Low volatility takes the 20-day lead from Quality
Quality × Crypto Financialization: 60-session correlation of daily returns minus the S&P 500 is r=+0.27 (60 paired sessions), versus r=-0.05 (60 paired sessions) for the 60-session period ending 2026-09-18, 20 sessions earlier. Factors use long portfolios.
UK stocks set for weekly gains as investors seek shelter in defensive sectors — Reuters
Stock Futures, Treasurys Steady as Markets Take Breather — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Next session · Oct 19

Reporting Monday: FITB, STLD, WRB.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Momentum's bottom quintile rallies on the day; quality's 20-session run reaches 3σ

Thu, 15 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,744.09+0.3%

VIX16.5-2%

10-year5.10%-9bp

Breadth45%above 50-day · 31% a month ago

In brief

The story

The move. Momentum's long-short spread fell 3.3% against the S&P on Thursday, a 2σ session at the 4th percentile of the trailing year, while the size book gained 1.8% (z +2.1). The same names sit on both sides: International Paper, Equifax and Fair Isaac each rose about 7%, all in momentum's bottom quintile and all in the size book. Technology cost the momentum spread 1.54pp, with Hewlett Packard Enterprise down 7% in the long leg. The five named contributors explain only 8% of the momentum move, so the day was broad rather than concentrated.

The books. Quality's spread is up 4.2% versus the S&P over 20 sessions, z +3.2 and the top of its trailing-year range, in session 12 of the run. PTC, up 44% in the long leg, contributed 0.44pp; Mosaic, Alexandria Real Estate and MGM Resorts, each down 23% to 25% in the short leg, added roughly a quarter point apiece. Quality has led the 20-day tape for two sessions, taking over from high beta.

The week. Healthcare is 5.5% ahead of the S&P on the week. The managed care basket is up 8.4% (Humana +12%, UnitedHealth +10%, Centene +9%) and hospitals 5.3% (DaVita and Universal Health Services +7%). MarketWatch reported big pharma near all-time highs as the tech selloff pushed investors toward safer bets. Memory and storage is 13.2% behind over 20 sessions, with Western Digital down 16%.

The market. The S&P closed at 7,744, up 0.33%, with the 10-year yield down 9bp to 5.10%; the WSJ tied the gain to Treasury yields giving back recent gains. VIX fell to 16.46. September PPI printed 1.3% against 0.5% expected. Breadth improved: 45% of the index is above its 50-day average, from 31% a month ago.

Who did it · 8% of the shortfall in these names

Name	Leg	1d	Contrib
EFX Equifax	short	+7%	-0.07pp
RDDT Reddit, Inc.	short	+7%	-0.07pp
HPE Hewlett Packard Enterprise	long	-7%	-0.07pp
FICO Fair Isaac	short	+7%	-0.07pp
IP International Paper	short	+7%	-0.07pp

By sector: Technology cost 1.5pp; Consumer Cyclical cost 0.7pp; Industrials cost 0.4pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.4% +0.4σ	-0.2% -0.3σ	+1.4% +0.0σ	+13.6%
Size	+1.8% +2.1σ	+2.9% +1.5σ	-0.8% -0.1σ	-0.9%
Low volatility	+0.2% +0.2σ	+3.1% +1.5σ	+0.4% +0.3σ	-6.1%
Dividend yield	+0.8% +0.8σ	+2.4% +1.0σ	-1.6% -0.4σ	+2.2%
Value	+0.8% +0.8σ	+1.6% +0.8σ	-2.0% -0.7σ	+2.9%
Quality	+0.2% +0.5σ	-0.3% -0.6σ	+1.5% +0.7σ	+5.6%
High beta	-0.9% -0.8σ	-5.1% -2.0σ	-2.5% -0.8σ	+12.7%
Momentum	-1.1% -1.1σ	-3.9% -2.1σ	-2.1% -0.9σ	+14.3%

Also

NY Empire State Manufacturing Index 25.5 (10.3 expected)
Producer Price Index MoM 1.3% (0.5% expected)
Reported today: BNY beat (2.37 vs 2.27); IBKR beat (0.67 vs 0.668); JBHT beat (1.82 vs 1.81) +5
Memory & Storage basket -13.2% vs S&P over 20 sessions
AI Displacement Risk basket +7.1% vs S&P over 20 sessions
Stocks Gain as Treasury Yields Give Back Some Recent Gains — WSJ
Nasdaq Futures Slide as Global AI Selloff Gathers Pace — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 16

Reporting Friday: TRV, TFC, MTB, CFG and 1 more.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Healthcare's third-best session since 2020 as high beta's long-short spread posts its worst week in a year

Wed, 14 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,720.97-1.1%

VIX16.9+10%

10-year5.19%-2bp

Breadth36%above 50-day · 32% a month ago

In brief

The story

The move. Healthcare beat the S&P by 3.6% in a single session, a 3.1σ move and the third-best day for the sector since 2020, on a day the index fell 1.08% to 7,720.97 and the VIX rose 10.5% to 16.87. Consumer Defensive is 6.9% ahead of the S&P on the week, its ninth-best five-session run since 2020.

The books. High beta's long-short spread lost 10.4% against the S&P on the week, a 2.7σ move and the worst five sessions in a year. Technology took 4.42pp of that; Coherent fell 21%, Supermicro 20% and Ciena 19%, all in the long leg. Momentum's long book trailed by 3.7%, with Micron -16% and AMD -12%. Low volatility led by 4.4%, with Chevron +8%, Mastercard +6% and Coca-Cola +7%.

The baskets. Optical Interconnect is 17.8% behind the S&P on the week, the fifth-worst run since 2020 and session three of the move; AI Infrastructure Leaders is 11.2% behind and Defensives 4.7% ahead. On 60 sessions of relative daily returns, high beta's long book and AI Infrastructure Leaders sit at r=+0.93, versus r=+0.95 twenty sessions earlier on an overlapping window.

The tape. September CPI came in at 3.7% year on year against 3.6% expected, with core at 0.3% month on month versus 0.2%; Reuters reported Fed's Goolsbee called the data discouraging. The 10-year yield ended at 5.19%, down 2bp. The WSJ reported oil rose on a Saudi Aramco attack report and Hormuz shipping risks. 36% of the index is above its 50-day average. Thursday brings PPI, consensus 0.5%.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-1.1% -1.5σ	-1.0% -0.8σ	+2.1% +0.3σ	+13.2%
Low volatility	+1.8% +1.9σ	+4.4% +2.1σ	-0.8% +0.0σ	-6.3%
Dividend yield	+1.6% +1.6σ	+3.7% +1.6σ	-3.2% -0.8σ	+1.4%
Size	+0.8% +0.9σ	+2.7% +1.4σ	-3.3% -0.9σ	-2.4%
Value	+1.2% +1.4σ	+2.7% +1.4σ	-3.8% -1.2σ	+2.1%
Quality	-0.2% -0.7σ	-0.5% -0.8σ	+1.1% +0.5σ	+5.4%
Momentum	-1.0% -1.1σ	-3.7% -2.0σ	-0.2% -0.4σ	+15.6%
High beta	-2.8% -2.3σ	-5.8% -2.3σ	-0.4% -0.4σ	+13.7%

Also

Inflation Rate 336.94 (336.65 expected)
Inflation Rate YoY 3.7% (3.6% expected)
Reported today: BAC missed (1.08 vs 1.1); BLK beat (15.93 vs 14.32); FAST beat (0.35 vs 0.3389) +3
Memory & Storage basket -9.5% vs S&P over 20 sessions
Homebuilders basket -7.8% vs S&P over 20 sessions
Stock Market Pillars Are Wobbling as the Rally Faces Its Next Test — Barron's
Oil Prices Rise as Traders Weigh Saudi Aramco Attack Report, Hormuz Shipping Risks — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 15

Thursday: Producer Price Index MoM (Sep), consensus 0.5%.
Thursday: Jobless Claims 4-Week Average (Oct/10), consensus 199K.
Thursday: NY Empire State Manufacturing Index (Oct), consensus 10.3.
Reporting Thursday: SCHW, IBKR, PLD, BNY and 4 more.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

AI Displacement Risk rebounds 8.2% vs the S&P in a week while Optical Interconnect drops 12.1%

Tue, 13 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,805.37-0.0%

VIX15.3+0%

10-year5.21%-3bp

Breadth40%above 50-day · 35% a month ago

In brief

The story

The move. The AI Displacement Risk basket, six names of seat-based IT services and outsourcing, is up 8.2% against the S&P on the week, z +1.8 and the 97th percentile of the trailing year, the ninth-best five-session run since 2020 and only session two of the move. CDW +12%, Accenture +11% and Cognizant +7% account for 63% of it; technology contributed 6.2 points.

The other side. Optical Interconnect fell 12.1% against the index on the week, z -1.7 and the 6th percentile, with Coherent -14%, Lumentum -13% and Corning -12% making up 80% of the move. The WSJ reported Nasdaq futures falling as a global AI selloff intensified. Space Economy is down 8.8% over 20 sessions and Defense & Aerospace 6.7%, both led by Boeing -11% and Northrop -9%. US Energy Complex added 5.0% on the week, Marathon Petroleum +10%.

The books. Quality's long-short spread is up 3.1% against the S&P over 20 sessions, z +2.5, session ten of the run. PTC +46% and NetApp +26% lead the long leg; MGM, Mosaic and Charter are each down 24% to 25% on the short side, though the top five names explain only 18% of the move. On benchmark-relative daily returns, the quality long book's 60-session correlation with Crypto Financialization is r=+0.26, up 0.31 coefficient points from r=-0.05 twenty sessions earlier on overlapping windows; the one-year reading is r=-0.06.

The market. The S&P closed at 7,805.37, down 0.02%; the 10-year yield slipped 3bp to 5.21% and VIX sits at 15.27. Breadth improved to 40% of the index above its 50-day average from 35% a month ago. Reuters reported Fed's Collins seeing another hike on the table before year-end. Core CPI for September lands Wednesday, consensus 2.5% year on year.

Who did it · 63% of the move in these names

Name	Weight	5d	Contrib
CDW CDW	16.7%	+12%	+2.01pp
ACN Accenture	16.7%	+11%	+1.90pp
CTSH Cognizant	16.7%	+7%	+1.21pp

By sector: Technology added 6.2pp; Financial Services added 1.2pp; Communication Services added 0.8pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.0% -0.1σ	-0.1% -0.2σ	+2.8% +0.5σ	+14.5%
Low volatility	+0.0% +0.1σ	+2.4% +1.2σ	-2.9% -0.5σ	-8.0%
Dividend yield	+0.2% +0.2σ	+1.7% +0.8σ	-5.7% -1.4σ	-0.1%
Size	+0.5% +0.6σ	+1.1% +0.6σ	-4.5% -1.2σ	-3.2%
Value	+0.1% +0.1σ	+1.2% +0.6σ	-6.0% -1.8σ	+0.9%
Quality	-0.2% -0.6σ	-0.0% -0.2σ	+1.7% +0.8σ	+5.7%
High beta	-0.3% -0.3σ	-3.5% -1.4σ	+3.2% +0.4σ	+17.0%
Momentum	-0.7% -0.7σ	-3.0% -1.7σ	+1.4% +0.1σ	+16.8%

Also

Existing Home Sales 3.99M (3.95M expected)
Existing Home Sales MoM 1.5% (-0.3% expected)
Reported today: C beat (2.85 vs 2.65); DPZ beat (4.6 vs 4.36); GS beat (17.01 vs 12.86) +4
Regional Banks basket -10.9% vs S&P over 20 sessions
Optical Interconnect basket +9.0% vs S&P over 20 sessions
Nasdaq Futures Fall as Global AI Selloff Intensifies — WSJ
Treasury, Eurozone Yields Fall as Markets Look to U.S. — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 14

Wednesday: Core Inflation Rate YoY (Sep), consensus 2.5%.
Wednesday: Core Inflation Rate MoM (Sep), consensus 0.2%.
Wednesday: CPI s.a (Sep), consensus 335.8.
Reporting Wednesday: BAC, MS, BLK, PGR and 2 more.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

AI Infrastructure Leaders fall 6.5% against the S&P on the week as Seagate, Coherent and Teradyne each lose 14% or more

Mon, 12 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,807.79-0.0%

VIX15.2+2%

Breadth37%above 50-day · 38% a month ago

In brief

The story

The move. The AI Infrastructure Leaders basket, 22 names, lost 6.5% against the S&P on the week, a 1.6σ move and the 6th percentile of the trailing year. Seagate fell 15%, Coherent and Teradyne 14% each, together 28% of the move, and technology accounted for 6.25 points of it. The four-name Optical Interconnect basket fell 7.1% on the same basis, with Coherent taking 3.56 points off it, Lumentum down 9% and Corning down 8%. On 60 sessions of benchmark-relative daily returns, AI Infrastructure Leaders and the high beta long book remain the most correlated pair on the board at r=+0.93.

The other side. AI Displacement Risk, six names, gained 4.5% against the S&P on the week, the 88th percentile of the year. Accenture rose 10%, CDW 7% and FactSet 4%, three-quarters of the move.

The books. Quality's long-short spread is up 3.2% against the S&P over 20 sessions, z +2.6 and the 98th percentile of the trailing year, now nine sessions into the run. PTC, up 42%, and NetApp, up 27%, led the long leg; Charter at -29%, MGM at -26% and Mosaic at -25% did the work on the short side. Quality's 60-session relative correlation with Payments & Fintech moved to r=+0.03 from r=-0.28 in the window ending September 14, a change of 0.31 coefficient points on overlapping windows.

The market. The S&P closed at 7,807.79, off 0.05% on the day and up 0.6% on the week, with the VIX at 15.21, up 2.5%. Breadth sits at 37% above the 50-day average against 38% a month ago, and 20-day realized vol is 9.7%, the 14th percentile of the year. Reuters called the tape mixed as oil rose and investors waited on earnings; JPMorgan, Johnson & Johnson, UnitedHealth and Goldman report Tuesday.

Who did it · 28% of the move in these names

Name	Weight	5d	Contrib
STX Seagate Technology	4.5%	-15%	-0.71pp
COHR Coherent, Inc.	4.5%	-14%	-0.65pp
TER Teradyne	4.5%	-14%	-0.65pp

By sector: Technology cost 6.2pp; Industrials cost 0.3pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.0% -0.1σ	+0.6% +0.1σ	+2.3% +0.3σ	+14.5%
Low volatility	+1.0% +1.1σ	+2.4% +1.2σ	-2.7% -0.4σ	-8.0%
Dividend yield	+0.8% +0.8σ	+1.6% +0.7σ	-5.8% -1.5σ	-0.4%
Value	+0.8% +0.9σ	+0.9% +0.5σ	-5.8% -1.8σ	+0.8%
Size	+0.3% +0.4σ	+0.4% +0.2σ	-4.8% -1.3σ	-3.6%
Quality	-0.1% -0.3σ	-0.1% -0.3σ	+1.9% +1.0σ	+5.9%
High beta	-1.5% -1.2σ	-3.1% -1.3σ	+3.6% +0.5σ	+17.4%
Momentum	-1.3% -1.3σ	-2.5% -1.4σ	+2.6% +0.4σ	+17.6%

Also

Optical Interconnect basket +11.4% vs S&P over 20 sessions
Regional Banks basket -9.9% vs S&P over 20 sessions
Quality × Payments & Fintech: 60-session correlation of daily returns minus the S&P 500 is r=+0.03 (60 paired sessions), versus r=-0.28 (60 paired sessions) for the 60-session period ending 2026-09-14, 20 sessions earlier. Factors use long portfolios.
Stocks Rise as Oil Eases After Russian Diesel Deal Despite Middle East Tension — WSJ
Wall Street mixed as oil prices surge, investors await earnings, economic data — Reuters

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 13

Tuesday: Existing Home Sales MoM (Sep), consensus -0.3%.
Tuesday: Existing Home Sales (Sep), consensus 3.96M.
Reporting Tuesday: JPM, JNJ, UNH, GS and 3 more.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Momentum books its best 20 sessions in a year while the same chip names sink value

Fri, 02 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,723.49+0.7%

VIX15.3-7%

10-year5.28%+4bp

Breadth25%above 50-day · 51% a month ago

In brief

The story

The move. Momentum's long-short spread gained 14.7% against the S&P over 20 sessions, a 2.4σ move and the best 20-session run in a year. Technology supplied 7.7pp of it. The five largest contributors account for a tenth of the move: AMD +39%, Teradyne +33%, Marvell +30% and Intel +30% in the long leg, and Fair Isaac, down 41% in the short leg, each worth 0.3 to 0.4pp.

The mirror. Value's spread lost 8.7% over the same window, -2.1σ and its worst run in a year. The same four chip names sit in value's short leg; with Everpure, up 43% there, the five explain 11% of the drop, and technology cost the spread 5.9pp. Capital Markets Cycle fell 9.9% against the S&P over 20 sessions, -2.5σ and the second-worst 20-session run since the series began, now in session 10. Blackstone -19%, KKR -18% and Ares -16% are 21% of that move.

The market. The S&P closed at 7,723, up 0.74% on the day and down 0.4% on the week, after September payrolls printed 29K against 90K expected and unemployment rose to 4.2%. Reuters reported the Nasdaq climbed to a record after the softer jobs data cooled rate-hike expectations. The VIX fell 6.6% to 15.31 and the 10-year yield rose 4bp to 5.28%. Breadth is 25% above the 50-day average, against 51% a month ago. Basic materials lost 5.0% to the S&P on the week, the ninth-worst five-session run in the series.

Who did it · 10% of the gain in these names

Name	Leg	20d	Contrib
FICO Fair Isaac	short	-41%	+0.41pp
AMD Advanced Micro Devices	long	+39%	+0.39pp
TER Teradyne	long	+33%	+0.33pp
MRVL Marvell Technology, Inc.	long	+30%	+0.30pp
INTC Intel	long	+30%	+0.30pp

By sector: Technology added 7.7pp; Consumer Cyclical added 1.7pp; Industrials added 1.5pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.8% +0.9σ	-0.4% -0.4σ	-0.5% -0.6σ	+13.1%
Momentum	+0.1% +0.0σ	+1.3% +0.5σ	+6.9% +1.5σ	+21.4%
High beta	+0.6% +0.4σ	+1.4% +0.4σ	+7.5% +1.3σ	+21.4%
Quality	-0.4% -1.2σ	+0.1% -0.0σ	+2.3% +1.3σ	+5.8%
Size	-0.8% -0.9σ	-0.7% -0.3σ	-6.1% -1.7σ	-4.1%
Low volatility	-0.5% -0.5σ	-1.0% -0.3σ	-5.0% -1.0σ	-9.9%
Dividend yield	-0.9% -0.9σ	-0.9% -0.4σ	-6.8% -1.8σ	-1.3%
Value	-0.6% -0.7σ	-1.2% -0.7σ	-6.2% -2.0σ	-0.2%

Also

U-6 Unemployment Rate 7.6% (7.7% expected)
Non Farm Payrolls 29K (90K expected)
Optical Interconnect basket +23.2% vs S&P over 20 sessions
AI Infrastructure Leaders basket +13.5% vs S&P over 20 sessions
Capital Markets Cycle × Housing Chain: 60-session correlation of daily returns minus the S&P 500 is r=+0.22 (60 paired sessions), versus r=-0.08 (60 paired sessions) for the 60-session period ending 2026-09-03, 20 sessions earlier. Factors use long portfolios.
The Underwhelming Jobs Data That Sparked a Stock Rally — WSJ
Nasdaq climbs to record after softer jobs data cools rate-hike expectations — Reuters

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Next session · Oct 5

Monday: ISM Services PMI (Sep), consensus 55.7.
October in the 30-year record: S&P +1.6% mean, positive 63% of the time; Quality averaged +0.4%.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Quality's long-short spread posts its best 20 sessions in a year while Basic Materials falls 5.7% behind on the week

Thu, 01 Oct 2026 21:30:00 GMT

Market snapshot

S&P 5007,668.82+0.2%

VIX16.4+0%

10-year5.24%-5bp

Breadth23%above 50-day · 48% a month ago

In brief

The story

The move. Quality's long-short spread gained 3.6% against the S&P over 20 sessions, a z of +3.4, the 100th percentile of the trailing year and the best 20-session run in a year, on the second session of the move. The short leg did most of the work: Charter fell 30%, MGM Resorts 26%, Albemarle 24% and General Mills 22%, each adding 0.22 to 0.30pp, while Meta's 23% gain on the long leg added 0.22pp. Those five names account for 12% of the move; by sector, utilities contributed 0.84pp and communication services 0.58pp.

The laggard. Basic Materials finished the week 5.7% behind the S&P, a z of -2.5 and the sector's worst five-session run since January 2020. In the other direction, the AI Displacement Risk basket beat the index by 6.2% on the week, with Accenture up 20% and worth 3.39pp of it; Accenture reported EPS of 3.29 against 3.18 expected.

The books. The September 30 rebalance turned over seven factor books. Momentum churned 23%, dropping UNH, MS and C and adding TXN, AMGN, DE and COP among 23 names. Quality swapped 2%: AVGO and MCK in, EOG and PGR out. Size added FIS, which fell 20% over the same 20 sessions in which the Payments & Fintech basket lost 8.4% to the index.

The market. The S&P closed at 7,668.82, up 0.23% on the day and down 0.7% on the week, with the 10-year at 5.24% after a 5bp fall. Only 23% of the index sits above its 50-day average, from 48% a month ago; that 20-session change ranks in the 15th percentile of the record since January 2020.

Who did it · 12% of the gain in these names

Name	Leg	20d	Contrib
CHTR Charter Communications	short	-30%	+0.30pp
MGM MGM Resorts	short	-26%	+0.27pp
ALB Albemarle Corporation	short	-24%	+0.24pp
META Meta Platforms	long	+23%	+0.22pp
GIS General Mills	short	-22%	+0.22pp

By sector: Utilities added 0.8pp; Communication Services added 0.6pp; Basic Materials added 0.5pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.1% +0.1σ	-0.7% -0.6σ	-0.1% -0.4σ	+12.2%
Quality	+0.4% +1.0σ	+0.6% +0.6σ	+2.6% +1.5σ	+6.3%
Momentum	+0.8% +0.7σ	+1.2% +0.4σ	+6.5% +1.4σ	+21.3%
Size	+0.3% +0.4σ	+0.2% +0.1σ	-6.1% -1.7σ	-3.3%
High beta	+0.8% +0.6σ	+0.5% +0.1σ	+7.5% +1.3σ	+20.7%
Dividend yield	+0.2% +0.2σ	-0.3% -0.1σ	-6.6% -1.7σ	-0.4%
Low volatility	-0.1% -0.1σ	-0.6% -0.2σ	-5.0% -1.0σ	-9.5%
Value	+0.3% +0.4σ	-0.4% -0.2σ	-5.8% -1.9σ	+0.3%

Rebalanced Sep 30: Momentum in TXN, AMGN, DE +20 · out UNH, MS, C +20 (23% turnover); 6 other books turned over — every book.

Also

ISM Manufacturing PMI 54.5 (55 expected)
Initial Jobless Claims 197K (200K expected)
Reported today: ACN beat (3.29 vs 3.18); MKC beat (0.86 vs 0.755); NKE beat (0.48 vs 0.4365)
Optical Interconnect basket +14.5% vs S&P over 20 sessions
Memory & Storage basket +12.6% vs S&P over 20 sessions
AI Stock Rally Checked by Relentless Treasury Selloff — WSJ
Stock Market Today: Global Bond Selloff Deepens — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 2

Friday: U-6 Unemployment Rate (Sep), consensus 7.7%.
Friday: Nonfarm Payrolls Private (Sep), consensus 85K.
Friday: Unemployment Rate (Sep), consensus 4.1%.
October in the 30-year record: S&P +1.6% mean, positive 63% of the time; Quality averaged +0.4%.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Quality's long-short spread posts its best 20-session run in a year while breadth thins to 21% above the 50-day

Wed, 30 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,653.56-0.2%

VIX16.3+2%

10-year5.29%+3bp

Breadth21%above 50-day · 46% a month ago

In brief

The story

The move. Quality's long-short spread ended September +2.1% against the S&P over 20 sessions, z +2.2 and the 100th percentile of the trailing year, its best 20-session run in a year. Both legs did work: Dell +27% and Meta +25% in the long leg, Charter -24%, MGM -24% and General Mills -22% in the short. Those five explain only 13% of the move; by sector, Utilities added 0.91pp, Real Estate 0.44pp and Basic Materials 0.42pp. The spread's 20-day realized vol sits at 6.7%, the 35th percentile.

The laggards. Commodity Producers are -9.6% vs the S&P over 20 sessions, z -1.8 and the 2nd percentile of the trailing year, in session four of the move: Albemarle -22%, Weyerhaeuser -18%, Expand Energy -16%, with Energy -4.44pp and Basic Materials -3.42pp. Defensives are -6.6% (z -1.1), with General Mills -22% and Clorox -15%. Defensives and the dividend yield long book remain the tightest pair on the board at r=+0.94 over 60 sessions of daily relative returns, -0.01 coefficient points from 20 sessions earlier on overlapping windows.

The market. The S&P closed at 7,653.56, -0.23% on the day and -0.8% on the week, with the 10-year at 5.29% (+3bp) and VIX at 16.34. Core PCE ran 3% year on year against 3.3% expected; Reuters attributed the Nasdaq's gain to soft inflation dampening rate hike expectations. Breadth is 21% above the 50-day, from 46% a month ago, a 20-session change at the 15th percentile since 2020. The month-end factor rebalance took effect at tonight's close; the adds and drops are below. Micron reported EPS of 33.42 vs 31.72 expected. Thursday brings jobless claims (consensus 200K) and results from ACN, NKE and MKC.

Who did it · 13% of the gain in these names

Name	Leg	20d	Contrib
DELL Dell Technologies	long	+27%	+0.27pp
META Meta Platforms	long	+25%	+0.25pp
CHTR Charter Communications	short	-24%	+0.24pp
MGM MGM Resorts	short	-24%	+0.24pp
GIS General Mills	short	-22%	+0.22pp

By sector: Utilities added 0.9pp; Real Estate added 0.4pp; Basic Materials added 0.4pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.3% -0.4σ	-0.8% -0.7σ	+0.3% -0.3σ	+12.1%
Quality	-0.3% -0.8σ	+0.5% +0.5σ	+2.3% +1.3σ	+5.9%
Momentum	-0.0% -0.1σ	+0.8% +0.2σ	+5.6% +1.2σ	+20.3%
Low volatility	-0.8% -0.8σ	-0.6% -0.1σ	-5.1% -1.0σ	-9.3%
High beta	+0.1% -0.0σ	-0.1% -0.2σ	+6.8% +1.1σ	+19.7%
Dividend yield	-0.5% -0.5σ	-1.1% -0.5σ	-6.9% -1.8σ	-0.7%
Value	-0.6% -0.7σ	-0.9% -0.5σ	-5.7% -1.9σ	+0.0%
Size	-0.4% -0.4σ	-1.4% -0.7σ	-6.3% -1.8σ	-3.6%

Also

Personal Income MoM 0.2% (0.4% expected)
Goods Trade Balance -132.6B (-115B expected)
Reported today: FDS beat (4.52 vs 4.35); JBL beat (4.4 vs 4.07); MU beat (33.42 vs 31.72)
Memory & Storage basket +10.0% vs S&P over 20 sessions
Commodity Producers basket -9.6% vs S&P over 20 sessions
S&P 500, Nasdaq climb as soft inflation dampens Fed rate hike expectations — Reuters
Two trades that just happened in 'Magnificent Seven' stocks point to big gains ahead — CNBC

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Oct 1

Thursday: Initial Jobless Claims (Sep/26), consensus 200K.
Thursday: Jobless Claims 4-Week Average (Sep/26), consensus 199K.
Thursday: Continuing Jobless Claims (Sep/19), consensus 1730K.
Reporting Thursday: ACN, NKE, MKC.
Month-end factor rebalance at the September 30 close.
September so far: High beta leads the quilt (+4.8%); the S&P sits 4th of 8.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

A quarter of the index above its 50-day average as yields climb

Mon, 28 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,684.50-0.8%

VIX16.1+8%

10-year5.24%+7bp

Breadth25%above 50-day · 53% a month ago

In brief

The story

The market. The S&P 500 closed at 7,684.50, down 0.76% on the day (z -1.1) and 1.2% on the week. The 10-year yield rose 7bp to 5.24%, with the 2-year at 4.92%; the WSJ reported the Treasury selloff extending into jobs week, and MarketWatch described yields moving relentlessly higher. VIX rose 8.1% to 16.07. Breadth is the number: 25% of the index sits above its 50-day average, from 53% a month ago, a 20-session change at the 12th percentile since 2020. 47% remain above the 200-day.

The baskets. AI Displacement Risk is 10.5% behind the S&P over 20 sessions (z -0.9), with Omnicom -14%, FactSet -13% and CDW -12% making up 60% of the move. Space Economy is 8.5% behind (z -1.0) on Leidos -13%, Boeing -12% and RTX -11%. Regional Banks trail by 6.7% and Payments & Fintech by 6.5%, where FIS is -16%. Optical Interconnect lost 5.6% to the index on the week, Coherent -12%.

The correlation. Capital Markets Cycle and Managed Care & Health Insurers show the largest 60-session change on the board: benchmark-relative daily returns correlate at r=-0.07 through September 28, against r=+0.29 in the window ending August 28, a move of -0.36 points on overlapping windows. The 20-session reading is r=+0.04, the one-year r=+0.13.

The calendar. The month-end factor rebalance prints at the September 30 close. Momentum leads the September quilt at +4.7%, with the S&P fourth of eight, and took the top of the trailing-20-day tape for the first time. Tuesday brings JOLTs job openings for August, consensus 7.24M, and Carnival reports.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.8% -1.1σ	-1.2% -0.9σ	-0.4% -0.5σ	+12.6%
Quality	+0.0% +0.0σ	+1.0% +1.2σ	+1.8% +1.0σ	+5.8%
Momentum	-0.0% -0.1σ	+1.0% +0.3σ	+5.1% +1.1σ	+19.7%
Low volatility	+0.6% +0.7σ	+0.3% +0.3σ	-3.7% -0.7σ	-8.5%
High beta	-1.0% -0.9σ	-0.5% -0.3σ	+4.9% +0.7σ	+18.5%
Size	+0.3% +0.4σ	-0.7% -0.3σ	-6.3% -1.8σ	-3.2%
Dividend yield	+0.4% +0.4σ	-1.0% -0.5σ	-5.9% -1.6σ	-0.1%
Value	-0.3% -0.3σ	-1.2% -0.7σ	-4.6% -1.6σ	+0.7%

Also

Memory & Storage basket +10.3% vs S&P over 20 sessions
Defense & Aerospace basket -10.2% vs S&P over 20 sessions
Momentum takes the 20-day lead from High beta
Capital Markets Cycle × Managed Care & Health Insurers: 60-session correlation of daily returns minus the S&P 500 is r=-0.07 (60 paired sessions), versus r=+0.29 (60 paired sessions) for the 60-session period ending 2026-08-28, 20 sessions earlier. Factors use long portfolios.
Low volatility 20-day realized vol 6.7%, a low since 2020
Treasury Selloff Extends, Stock Futures Slide to Kick Off Jobs Week — WSJ
Oil Prices Rise as U.S.-Iran Talks Face Fresh Hurdles — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 29

Tuesday: JOLTs Job Openings (Aug), consensus 7.24M.
Reporting Tuesday: CCL.
Month-end factor rebalance at the September 30 close.
September so far: Momentum leads the quilt (+4.7%); the S&P sits 4th of 8.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Refiners drag the energy complex 4.3% behind the S&P as breadth narrows

Fri, 25 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,742.09+0.5%

VIX14.9-5%

10-year5.17%-1bp

Breadth28%above 50-day · 54% a month ago

In brief

The story

The week. The US Energy Complex basket, 21 names, finished the week 4.3% behind the S&P, a z of -1.2 and the 13th percentile of the trailing year. The refiners did the damage: Marathon Petroleum -7%, Phillips 66 -6% and Valero -6% together account for 26% of the move, at -0.40, -0.36 and -0.35 points. CNBC reported oil fell on optimism over a potential diplomatic solution to the Iran conflict.

The tape. The S&P 500 closed at 7,742.09, up 0.49% on the day and 1.1% on the week, but only 0.2% over 20 sessions. Beneath that, 28% of members sit above their 50-day average against 54% a month ago; the 20-session change is at the 14th percentile since 2020. Some 49% are above the 200-day. The VIX fell 5.1% to 14.87 and the 10-year ended at 5.17%, down a basis point; the WSJ headlined the bond selloff pausing as stocks edged higher.

The baskets. AI Displacement Risk lost 4.0% to the S&P on the week, with CDW -7%, Cognizant -4% and FactSet -4% making 77% of it. Over 20 sessions Space Economy is -7.6% (Leidos and RTX both -11%), Payments & Fintech -7.3% (Jack Henry -13%, FIS and Fiserv -12%) and Regional Banks -6.4%. Memory & Storage is +10.8%, on Sandisk +20% and Micron +16%.

The correlations. Capital Markets Cycle and Managed Care & Health Insurers now read r=-0.06 on 60 sessions of daily benchmark-relative returns to September 25, from r=+0.27 in the window ending August 27, a change of -0.33 coefficient points across overlapping windows. The 20-session figure is r=+0.04 and the one-year r=+0.13.

Who did it · 26% of the move in these names

Name	Weight	5d	Contrib
MPC Marathon Petroleum	4.8%	-7%	-0.40pp
PSX Phillips 66	4.8%	-6%	-0.36pp
VLO Valero Energy	4.8%	-6%	-0.35pp

By sector: Energy cost 4.0pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.5% +0.5σ	+1.1% +0.5σ	+0.2% -0.3σ	+13.5%
Quality	+0.1% +0.1σ	+1.4% +1.8σ	+1.6% +0.9σ	+5.7%
High beta	-0.3% -0.3σ	+2.7% +0.9σ	+4.5% +0.7σ	+19.7%
Momentum	-0.0% -0.1σ	+1.8% +0.8σ	+3.8% +0.7σ	+19.8%
Low volatility	-0.2% -0.1σ	-2.1% -0.8σ	-3.7% -0.7σ	-9.0%
Size	+0.0% +0.0σ	-2.4% -1.2σ	-6.4% -1.8σ	-3.5%
Dividend yield	-0.3% -0.3σ	-3.1% -1.4σ	-5.8% -1.5σ	-0.4%
Value	+0.2% +0.2σ	-2.8% -1.5σ	-3.8% -1.3σ	+1.0%

Also

Michigan Consumer Sentiment 48.1 (47.6 expected)
Durable Goods Orders MoM 0% (-0.4% expected)
Memory & Storage basket +10.8% vs S&P over 20 sessions
Defense & Aerospace basket -9.5% vs S&P over 20 sessions
Capital Markets Cycle × Managed Care & Health Insurers: 60-session correlation of daily returns minus the S&P 500 is r=-0.06 (60 paired sessions), versus r=+0.27 (60 paired sessions) for the 60-session period ending 2026-08-27, 20 sessions earlier. Factors use long portfolios.
Stocks Climb Back To Par — WSJ
Bond Selloff Pauses, Stocks Edge Higher as Market Sentiment Cautiously Improves — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Next session · Sep 28

September so far: High beta leads the quilt (+6.1%); the S&P sits 4th of 8.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Quality leads the week on Meta and semiconductors while the value and size spreads fall to the bottom of their year

Thu, 24 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,703.83-0.0%

VIX15.7+3%

10-year5.18%+7bp

Breadth26%above 50-day · 59% a month ago

In brief

The story

The move. Quality's long book finished the week 1.6% ahead of the S&P, a 2.0 sigma week and the 95th percentile of the past year. Five names did 68% of it: Meta Platforms +14% for 0.66 points, Micron +11%, Lam Research +14%, Applied Materials +14% and Palantir +9%. Technology contributed 1.54 points and communication services 0.43. The same tilt shows up beyond large caps, with quality in the 3,000-name universe up 1.0% against its benchmark, a 2.3 sigma week.

The spreads. The same rally hurt the long-short books. Value's top-minus-bottom spread lost 5.8% against the S&P, a 2.4 sigma week at the 1st percentile of the year and the fourth session of the move, with Moderna +23%, Intel +17%, AMD +15%, Cadence +15% and Coinbase +15% all in the short leg; those five made up just 12% of the move, so the drag was broad. Size's spread fell 4.0%, the 2nd percentile, with Gen Digital -24% in the long leg and Intel, AMD, Lam and Meta in the short. Technology cost each spread roughly two points.

The market. The S&P closed at 7,703.83, off 0.03% on the day and up 0.8% on the week. The 10-year rose 7bp to 5.18%; CNBC reported yields kept climbing after the 10-year hit a 19-year high as investors ramped up rate-hike bets. Breadth thinned: 26% of the index sits above its 50-day average, from 59% a month ago, a 20-session change at the 8th percentile since 2020. Memory & Storage added 8.7% vs the S&P on the week on Seagate +13%, Micron +11% and Sandisk +9%.

Who did it · 68% of the gain in these names

Name	Weight	5d	Contrib
META Meta Platforms	5.0%	+14%	+0.66pp
MU Micron Technology	5.0%	+11%	+0.49pp
LRCX Lam Research	2.6%	+14%	+0.35pp
AMAT Applied Materials	2.2%	+14%	+0.29pp
PLTR Palantir Technologies	2.9%	+9%	+0.24pp

By sector: Technology added 1.5pp; Communication Services added 0.4pp; Healthcare added 0.1pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.0% -0.1σ	+0.8% +0.3σ	+0.4% -0.3σ	+13.0%
Quality	+0.3% +0.8σ	+1.6% +2.0σ	+1.4% +0.8σ	+5.7%
High beta	+0.2% +0.1σ	+3.9% +1.3σ	+5.4% +0.8σ	+20.1%
Momentum	+0.4% +0.3σ	+2.7% +1.2σ	+3.6% +0.7σ	+19.9%
Low volatility	-0.1% -0.0σ	-2.5% -1.0σ	-5.2% -1.1σ	-8.9%
Size	-1.2% -1.4σ	-3.5% -1.8σ	-7.5% -2.1σ	-3.5%
Dividend yield	-0.6% -0.6σ	-3.9% -1.8σ	-6.9% -1.8σ	-0.2%
Value	-0.2% -0.2σ	-3.8% -2.1σ	-5.7% -1.9σ	+0.8%

Also

New Home Sales 0.684M (0.62M expected)
Continuing Jobless Claims 1719K (1750K expected)
Reported today: COST beat (6.75 vs 6.54); DRI met (2.05 vs 2.05)
Travel & Experiences basket -12.6% vs S&P over 20 sessions
Defense & Aerospace basket -9.8% vs S&P over 20 sessions
Stocks Climb Back To Par — WSJ
Stock Market Today: Government Bond Selloff Widens — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 25

Friday: Durable Goods Orders Ex Transp MoM (Aug), consensus 0.6%.
Friday: Durable Goods Orders Ex Defense MoM (Aug), consensus -0.6%.
Friday: Durable Goods Orders MoM (Aug), consensus -0.4%.
September so far: High beta leads the quilt (+5.9%); the S&P sits 4th of 8.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Ten-year hits 5.11% and value's week ends 4.7% behind the S&P

Wed, 23 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,708.55-0.7%

VIX15.2+7%

10-year5.11%+15bp

Breadth29%above 50-day · 59% a month ago

In brief

The story

The move. Value finished the week 4.7% behind the S&P, a z of -2.6 and the worst five-session run against the index in a year, now three sessions old. Wells Fargo -6%, Verizon -7%, Bank of America -3%, Berkshire Hathaway -2% and CVS Health -6% account for 28% of the gap; Financial Services alone took 2.18 points, Communication Services 0.68 and Healthcare 0.65. The sector itself sits 3.8% behind the S&P on the week (z -2.1, 1st percentile of the trailing year). In the 3,000-name universe value is -4.1%, -2.4σ.

The market. The S&P 500 fell 0.72% to 7,708.55. The 10-year yield rose 15bp to 5.11%, which the WSJ called a 19-year high amid a broad bond selloff, and MarketWatch reported financial stocks falling as rates rise. The two-year is 4.85%. VIX added 6.8% to 15.18. Only 29% of the index is above its 50-day average, from 59% a month ago; that 20-session drop sits at the 10th percentile since 2020.

The baskets. Cybersecurity is 10.9% ahead of the S&P over 20 sessions (90th percentile), with CrowdStrike +42% worth 6.86 points and Fortinet and Palo Alto Networks +16% each. Crypto Financialization is +6.5% on the week on Coinbase +20% and Robinhood +18%. On the other side, Housing Chain is -7.5% in 20 (BLDR -15%, Home Depot -12%, Lowe's -11%) and Hospitals & Providers is -5.0% on the week, with LabCorp, Quest Diagnostics and DaVita each -6%.

Who did it · 28% of the shortfall in these names

Name	Weight	5d	Contrib
WFC Wells Fargo	5.0%	-6%	-0.39pp
VZ Verizon	4.0%	-7%	-0.34pp
BAC Bank of America	5.0%	-3%	-0.26pp
BRK-B Berkshire Hathaway	5.0%	-2%	-0.22pp
CVS CVS Health	2.3%	-6%	-0.19pp

By sector: Financial Services cost 2.2pp; Communication Services cost 0.7pp; Healthcare cost 0.6pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.8% -1.0σ	+2.0% +1.0σ	+0.4% -0.3σ	+13.0%
High beta	-0.1% -0.2σ	+5.0% +1.7σ	+5.7% +0.9σ	+19.8%
Momentum	+0.2% +0.1σ	+3.2% +1.5σ	+3.5% +0.7σ	+19.4%
Quality	+0.2% +0.4σ	+1.1% +1.4σ	+1.2% +0.6σ	+5.3%
Low volatility	+0.4% +0.5σ	-3.4% -1.5σ	-5.1% -1.1σ	-8.8%
Size	-0.1% -0.1σ	-3.1% -1.6σ	-6.1% -1.8σ	-2.3%
Dividend yield	-0.1% -0.1σ	-4.2% -1.9σ	-6.4% -1.7σ	+0.4%
Value	+0.1% +0.1σ	-4.7% -2.6σ	-5.2% -1.8σ	+0.9%

Also

Reported today: CTAS beat (1.39 vs 1.35); GIS beat (0.75 vs 0.717); PAYX beat (1.34 vs 1.32)
Memory & Storage basket +13.5% vs S&P over 20 sessions
Travel & Experiences basket -13.2% vs S&P over 20 sessions
FW 3000: Value -4.1% (-2.4σ) on the week vs the broad benchmark
Financial stocks fall with AI and flattening yield curve in focus — Reuters
Financial stocks are falling as rates rise. — MarketWatch

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 24

Thursday: Initial Jobless Claims (Sep/19), consensus 201K.
Thursday: Continuing Jobless Claims (Sep/12), consensus 1750K.
Thursday: Jobless Claims 4-Week Average (Sep/19), consensus 203K.
Reporting Thursday: COST, DRI.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Value's 10th-worst five-session run since 2020 as banks and telcos fall

Tue, 22 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,764.27-0.0%

VIX14.2-4%

10-year4.96%+0bp

Breadth31%above 50-day · 61% a month ago

In brief

The story

The move. Value's long book finished five sessions 5.9% behind the S&P, a 3.3σ move, the worst week of the trailing year and the 10th-worst since January 2020, in the second session of the slide. Financial Services cost 2.81 points and Communication Services 1.04. Verizon fell 10%, Wells Fargo 7%, Bank of America and AT&T 6% and Berkshire Hathaway 3%; those five account for 30% of the shortfall. Reuters reported financial stocks fell with AI and a flattening yield curve in focus. The sector itself trailed the index by 5.3% on the week, a 3.0σ move. In the 3,000-name universe value lagged 5.1%, a 3.1σ move.

The other side. High beta beat the S&P by 5.8% on the week, with AMD +24%, Micron +18%, Intel +28%, Meta +10% and Lam Research +15% supplying 48% of the gain and Technology 5.23 points. The Memory & Storage basket led everything at +15.8% versus the index, Sandisk +23% and Seagate +19% alongside Micron. The same names sat in the short leg of the dividend yield spread, which lagged 4.7%. Over 60 sessions of daily relative returns to September 22, high beta and dividend yield long books read r=-0.88, from r=-0.86 twenty sessions earlier on overlapping windows.

The market. The S&P closed at 7,764, flat on the day and up 2.3% on the week, with the VIX at 14.21. Breadth narrowed: 31% of the index above its 50-day average against 61% a month ago. Energy trailed the S&P by 8.2% on the week; Barron's reported oil fell on a report Iran offered to open Hormuz in seven days. Basic Materials beat the index by 2.0% on the day. AutoZone reported EPS of 0.56 against 0.54 expected. Cintas, Paychex and General Mills report Wednesday.

Who did it · 30% of the shortfall in these names

Name	Weight	5d	Contrib
VZ Verizon	4.0%	-10%	-0.48pp
WFC Wells Fargo	5.0%	-7%	-0.48pp
BAC Bank of America	5.0%	-6%	-0.39pp
T AT&T	3.4%	-6%	-0.29pp
BRK-B Berkshire Hathaway	5.0%	-3%	-0.24pp

By sector: Financial Services cost 2.8pp; Communication Services cost 1.0pp; Energy cost 0.8pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.0% -0.1σ	+2.3% +1.2σ	+1.6% +0.1σ	+13.9%
High beta	+0.7% +0.5σ	+5.8% +2.1σ	+6.8% +1.1σ	+20.0%
Momentum	+0.5% +0.4σ	+3.4% +1.6σ	+3.9% +0.8σ	+19.2%
Quality	+0.4% +1.0σ	+1.2% +1.5σ	+1.1% +0.6σ	+5.2%
Size	+0.3% +0.4σ	-3.4% -1.7σ	-6.8% -2.0σ	-2.2%
Low volatility	-0.5% -0.4σ	-4.2% -1.8σ	-6.2% -1.3σ	-9.2%
Dividend yield	-0.4% -0.4σ	-5.0% -2.4σ	-6.9% -1.9σ	+0.5%
Value	-1.1% -1.3σ	-5.9% -3.3σ	-5.6% -1.9σ	+0.8%

Also

Reported today: AZO beat (0.5605 vs 0.5408)
Memory & Storage basket +15.6% vs S&P over 20 sessions
Travel & Experiences basket -11.9% vs S&P over 20 sessions
FW 3000: Value -5.1% (-3.1σ) on the week vs the broad benchmark
Financial stocks fall with AI and flattening yield curve in focus — Reuters
Nasdaq reaches record high close, AI stocks rally — Reuters

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 23

Reporting Wednesday: CTAS, PAYX, GIS.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Value's long-short spread falls 5.6% against the S&P on the week, its worst five-session run in a year, as the short leg's chip names rally

Mon, 21 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,764.22+1.5%

VIX14.8-0%

10-year4.96%-5bp

Breadth31%above 50-day · 58% a month ago

In brief

The story

The move. Value's long-short spread fell 5.6% against the S&P on the week, a z of -2.5, the 0th percentile of the trailing year and its worst five-session run in a year. The damage came from the short leg: Intel and Advanced Micro Devices each rose 25%, Coherent 21%, Moderna and Marvell 18%, together 15% of the move, with Technology alone costing 2.65pp. The same names carried the AI Infrastructure Leaders basket 8.4% past the S&P and the Optical Interconnect basket 13.0%, where Coherent, Ciena and Lumentum made up 83% of the move. In the 3,000-name universe, value was -4.5% on the week, -2.7σ.

The other side. Dividend yield fell 4.5% against the S&P on the week, z -2.2, also its worst five-session run in a year. Verizon -7%, PepsiCo -5%, Chevron, Philip Morris and AT&T -4%; Consumer Defensive cost 0.86pp, Communication Services 0.76pp, Utilities 0.69pp. The Defensives basket fell the same 4.5%, led by Verizon, Sysco and Republic Services. The two books' 60-session relative daily returns sit at r=+0.96, the highest pair on the board, against r=+0.95 twenty sessions earlier on overlapping windows.

The market. The S&P closed at 7,764.22, up 1.49%, z +1.8; the 10-year yield fell 5bp to 4.96% and the VIX held at 14.80. Reuters put it as AI stocks lifting Wall Street as oil fell and Treasury yields declined. Energy lagged the index by 4.0% on the day (z -2.4), Communication Services led by 2.2% (z +2.0). Only 31% of the index sits above its 50-day average, from 58% a month ago. AutoZone reports Tuesday.

Who did it · 15% of the shortfall in these names

Name	Leg	5d	Contrib
INTC Intel	short	+25%	-0.25pp
AMD Advanced Micro Devices	short	+25%	-0.25pp
COHR Coherent, Inc.	short	+21%	-0.21pp
MRNA Moderna	short	+18%	-0.18pp
MRVL Marvell Technology, Inc.	short	+18%	-0.18pp

By sector: Technology cost 2.6pp; Healthcare cost 1.0pp; Financial Services cost 0.8pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+1.5% +1.8σ	+1.9% +0.9σ	+1.4% -0.0σ	+14.0%
High beta	+2.1% +1.6σ	+5.1% +1.8σ	+4.3% +0.6σ	+19.1%
Momentum	+0.8% +0.7σ	+3.5% +1.7σ	+2.2% +0.3σ	+18.6%
Quality	+0.5% +1.4σ	+0.8% +1.0σ	+0.5% +0.2σ	+4.7%
Low volatility	-1.8% -1.8σ	-3.5% -1.5σ	-4.4% -0.9σ	-8.8%
Size	-1.3% -1.5σ	-3.6% -1.9σ	-6.5% -1.9σ	-2.5%
Dividend yield	-1.8% -1.8σ	-4.5% -2.2σ	-5.7% -1.5σ	+0.9%
Value	-1.8% -2.2σ	-4.5% -2.5σ	-3.6% -1.3σ	+2.0%

Also

Travel & Experiences basket -10.5% vs S&P over 20 sessions
Housing Chain basket -9.9% vs S&P over 20 sessions
FW 3000: Value -4.5% (-2.7σ) on the week vs the broad benchmark
AI stocks lift Wall St as oil falls, Treasury yields decline — Reuters
Global Stocks Rally, Yields Lower as Oil Prices Extend Falls — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 22

Reporting Tuesday: AZO.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Regional banks fall 4.5% behind the S&P in a week the index went nowhere

Fri, 18 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,646.04+0.1%

VIX14.8-4%

10-year5.01%+7bp

Breadth28%above 50-day · 55% a month ago

In brief

The story

The move. The Regional Banks basket lost 4.5% against the S&P this week, a -1.5 sigma reading at the 4th percentile of the trailing year and the third session of the slide. It was a basket-wide move rather than a single name: Regions Financial, M&T Bank and Citizens Financial each fell about 5%, and together they account for only 38% of the drop across the nine names.

The other laggard. Nuclear Renaissance gave up 5.2% against the index on the week, 10th percentile. Constellation Energy fell 11%, worth 2.6 points of the basket move on its own; Vistra lost 5% and Public Service Enterprise 4%. Over 20 sessions the housing chain is still 8.9% behind the S&P, with Builders FirstSource down 17%. On the other side, Cybersecurity is 6.2% ahead over 20 sessions, almost all of it CrowdStrike, up 25%, and Fortinet, up 13%; Memory & Storage added 4.2% on the week, led by Sandisk at +10%.

The market. The S&P 500 closed at 7,646.04, up 0.11% on the day and down 0.1% on the week; over 20 sessions it is up 0.3%. The 10-year yield rose 7bp to 5.01%, and the Wall Street Journal reported futures rising as oil extended losses and Treasury yields climbed. VIX fell 4.1% to 14.81, and 20-day realized vol sits at 9.3%, the 18th percentile of the past year. Beneath a flat index, 28% of members are above their 50-day average, down from 55% a month ago, a 20-session change at the 14th percentile since 2020.

Who did it · 38% of the move in these names

Name	Weight	5d	Contrib
RF Regions Financial Corporatio	11.1%	-5%	-0.59pp
MTB M&T Bank	11.1%	-5%	-0.57pp
CFG Citizens Financial Group	11.1%	-5%	-0.53pp

By sector: Financial Services cost 4.5pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.1% +0.1σ	-0.1% -0.2σ	+0.3% -0.3σ	+12.3%
Quality	+0.2% +0.5σ	+0.5% +0.6σ	+0.1% -0.1σ	+4.2%
Momentum	+0.8% +0.8σ	+0.9% +0.4σ	+1.6% +0.1σ	+17.7%
High beta	+0.9% +0.7σ	+0.5% +0.1σ	+2.5% +0.2σ	+16.5%
Low volatility	-0.6% -0.5σ	-1.3% -0.5σ	-2.9% -0.5σ	-7.1%
Size	-1.1% -1.3σ	-1.0% -0.5σ	-5.1% -1.5σ	-1.1%
Dividend yield	-1.0% -1.0σ	-2.1% -1.0σ	-4.3% -1.2σ	+2.7%
Value	-0.8% -1.0σ	-2.3% -1.4σ	-1.6% -0.7σ	+3.8%

Also

Travel & Experiences basket -10.2% vs S&P over 20 sessions
Defense & Aerospace basket -9.2% vs S&P over 20 sessions
FW 3000: Value -2.7% (-1.7σ) on the week vs the broad benchmark
Stock Futures Rise as Oil Extends Losses, Treasury Yields Rise — WSJ
Stock Market Today: Nasdaq Heads for Weekly Gain as AI Stocks Surge — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Housing chain lags the S&P by 9.4% over 20 sessions while the index rallies 1.1%

Thu, 17 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,637.05+1.1%

VIX15.4-13%

10-year4.94%-7bp

Breadth31%above 50-day · 62% a month ago

In brief

The story

The move. The Housing Chain basket of 15 names trailed the S&P by 9.4% over 20 sessions, a z of -1.0 and the 14th percentile of the trailing year. Builders FirstSource fell 20% for -1.32pp, Lennox 14% for -0.91pp and Lowe's 12% for -0.73pp, about a third of the move; Industrials cost 4.36pp and Consumer Cyclical 3.71pp. The narrower Homebuilders basket was 6.3% behind, with PulteGroup and Lennar each down 9% and D. R. Horton 8%. Today's prints: housing starts 1.275M against 1.31M expected, permits 1.394M against 1.41M.

The market. The S&P closed at 7,637.05, up 1.13%, a z of +1.3, on a session the WSJ headlined as stocks rallying and shaking off the Fed's rate hike. The VIX fell 12.8% to 15.44 and the 10-year yield dropped 7bp to 4.94%. Continuing claims printed 1730K against 1780K expected and initial claims 196K against 208K. Breadth is thin: 31% of the index sits above its 50-day average, down from 62% a month ago, a 20-session change at the 10th percentile since 2020.

The books. Momentum's long-short spread is 13.8% behind the S&P over 60 sessions, z -2.0 and the 3rd percentile of the trailing year, in its fourth session. The damage is in the short leg: Workday +73%, Veeva +65%, Salesforce +59%, Cognizant and Accenture +52%, with Technology costing 7.71pp. Regional Banks lagged 4.5% on the week, z -1.5, as M&T, Regions and PNC each fell 5%.

Who did it · 32% of the move in these names

Name	Weight	20d	Contrib
BLDR Builders FirstSource	6.7%	-20%	-1.32pp
LII Lennox International	6.7%	-14%	-0.91pp
LOW Lowe's	6.7%	-12%	-0.73pp

By sector: Industrials cost 4.4pp; Consumer Cyclical cost 3.7pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+1.1% +1.3σ	+0.7% +0.2σ	-0.7% -0.7σ	+12.1%
Quality	-0.2% -0.5σ	+0.5% +0.6σ	+0.3% +0.1σ	+4.0%
Momentum	+0.8% +0.8σ	+0.4% +0.1σ	+0.9% -0.1σ	+16.7%
Size	-0.9% -1.0σ	-0.1% -0.0σ	-3.5% -1.0σ	-0.0%
High beta	+1.2% +0.9σ	+0.2% -0.1σ	+2.1% +0.1σ	+15.5%
Low volatility	-1.0% -1.0σ	-1.3% -0.5σ	-2.1% -0.3σ	-6.6%
Dividend yield	-0.9% -1.0σ	-1.4% -0.7σ	-3.0% -0.8σ	+3.8%
Value	-1.1% -1.4σ	-1.7% -1.0σ	-0.7% -0.4σ	+4.7%

Also

Continuing Jobless Claims 1730K (1780K expected)
Initial Jobless Claims 196K (208K expected)
Defense & Aerospace basket -10.6% vs S&P over 20 sessions
Travel & Experiences basket -10.5% vs S&P over 20 sessions
High beta takes the 20-day lead from Quality
Stocks Rally, Shaking Off Fed's Rate Hike — WSJ
Stocks Climb as Markets Retrace Post-Fed Moves — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Momentum's fifth-worst 60-session run since 2020 as Micron, Lam and Applied fall 24-35%

Wed, 16 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,553.33-0.4%

VIX17.7+3%

10-year5.01%+1bp

Breadth32%above 50-day · 61% a month ago

In brief

The story

The move. The momentum long book is 11.0% behind the S&P over 60 sessions, a z of -2.3 and the fifth-worst 60-session run since March 2020; today was the second session of the move. High beta is 11.3% behind, z -2.1, its worst 60-session stretch in a year. The same four chip names sit at the top of both lists: Micron -24%, Lam Research -34%, Intel -28%, Applied Materials -35%, together with Caterpillar -23% in momentum and Broadcom -13% in high beta. Technology accounts for about 6.5pp of each book's shortfall. On 60-session relative daily returns, low volatility and high beta run at r=-0.85, unchanged from 20 sessions earlier on overlapping windows.

The market. The S&P fell 0.43% to 7,553, leaving it 1.0% lower on the week and 1.6% lower over 20 sessions. The Fed set its rate at 4%, in line with expectations and up from 3.75%, which CNBC called the first hike since 2023; August retail sales rose 1.4% against 0.4% expected. The 10-year yield ended at 5.01%. Only 32% of the index is above its 50-day average, from 61% a month ago, a 20-session drop at the 11th percentile since 2020. Quality took the 20-day lead from value for the first session.

The baskets. Space Economy is 8.7% behind the S&P over 20 sessions, with RTX -13% and Lockheed Martin -11%. Regional Banks are 7.3% behind, Huntington and M&T both -10%. Hospitals & Providers are 6.7% ahead, DaVita +9%. Optical Interconnect lost 5.8% to the index on the week as Corning fell 14%. Lennar reported EPS of 1.23 against 1.28 expected; housing starts follow Thursday.

Who did it · 39% of the shortfall in these names

Name	Weight	60d	Contrib
MU Micron Technology	5.0%	-24%	-1.24pp
LRCX Lam Research	2.9%	-34%	-1.03pp
INTC Intel	3.2%	-28%	-0.95pp
AMAT Applied Materials	2.5%	-35%	-0.90pp
CAT Caterpillar Inc.	2.6%	-23%	-0.64pp

By sector: Technology cost 6.5pp; Industrials cost 1.6pp; Financial Services cost 0.4pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.4% -0.6σ	-1.0% -0.8σ	-1.6% -0.9σ	+10.9%
Size	-0.4% -0.5σ	+0.6% +0.3σ	-1.5% -0.4σ	+0.9%
Quality	+0.2% +0.6σ	+0.2% +0.2σ	-0.0% -0.1σ	+4.2%
Low volatility	-0.4% -0.3σ	+0.1% +0.1σ	-1.4% -0.1σ	-5.6%
Dividend yield	-1.0% -1.0σ	+0.0% -0.0σ	-1.0% -0.3σ	+4.7%
Value	-1.2% -1.4σ	+0.1% -0.0σ	-0.2% -0.2σ	+5.8%
Momentum	+0.5% +0.4σ	-1.7% -1.0σ	-1.0% -0.6σ	+15.7%
High beta	+0.7% +0.5σ	-2.6% -1.1σ	-0.2% -0.3σ	+14.2%

Also

Reported today: LEN missed (1.23 vs 1.28)
Defense & Aerospace basket -9.9% vs S&P over 20 sessions
Travel & Experiences basket -9.3% vs S&P over 20 sessions
Quality takes the 20-day lead from Value
Oil Pares Gains, Stock Futures Steady as Cautious Optimism Heralds Fed Day — WSJ
U.S. — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 17

Thursday: Housing Starts (Aug), consensus 1.31M.
Thursday: Continuing Jobless Claims (Sep/05), consensus 1780K.
Thursday: Initial Jobless Claims (Sep/12), consensus 208K.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

High beta's long-short spread trails the S&P by 14.5% over 60 sessions, its worst run in a year

Tue, 15 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,585.51-0.5%

VIX17.2+1%

10-year5.00%+3bp

Breadth35%above 50-day · 62% a month ago

In brief

The story

The spread. High beta's long-short spread, top quintile minus bottom, is 14.5% behind the S&P over 60 sessions, a -2.2σ move and the worst 60-session run in a year. The damage came from the short leg: Marathon Petroleum +70%, Valero +69%, Phillips 66 +60% and APA +45%, each costing 0.45 to 0.70 points, while Western Digital fell 45% on the long side. Those five names explain only 12% of the move; by sector it is Technology -5.35pp, Energy -4.50pp and Industrials -3.24pp.

The books. Momentum's long book is 9.4% behind the S&P over 60 sessions (-2.1σ, ninth-worst since March 2020). Five semiconductor names account for 38% of it: Micron -18%, Intel -28%, Lam Research -30%, Applied Materials -32%, KLA -35%; Technology contributed -5.80pp. Industrials is 7.1% behind the S&P over 20 sessions (-1.9σ), the sector's eighth-worst 20-session run since 2020. On the week, AI Displacement Risk is 5.7% ahead of the index on Gartner +13% and Accenture +8%; Optical Interconnect is 9.4% behind on Lumentum -14% and Corning -13%.

The market. The S&P closed at 7,585.51, -0.45% on the day, -1.1% on the week and -1.8% over 20 sessions. The 10-year yield rose 3bp to 5.00%; Reuters described stocks wobbling with no sign of panic as yields surged. Breadth is 35% of the index above its 50-day average, from 62% a month ago, a 20-session change at the 13th percentile since 2020. Empire State manufacturing printed 7.6 against 14.75 expected. Wednesday brings the Fed decision, consensus 4%, retail sales and LEN's report.

Who did it · 12% of the shortfall in these names

Name	Leg	60d	Contrib
MPC Marathon Petroleum	short	+70%	-0.70pp
VLO Valero Energy	short	+69%	-0.69pp
PSX Phillips 66	short	+60%	-0.60pp
WDC Western Digital	long	-45%	-0.45pp
APA APA Corporation	short	+45%	-0.45pp

By sector: Technology cost 5.4pp; Energy cost 4.5pp; Industrials cost 3.2pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.5% -0.7σ	-1.1% -0.8σ	-1.8% -1.0σ	+11.4%
Value	+0.4% +0.4σ	+1.3% +0.6σ	+2.0% +0.5σ	+7.1%
Low volatility	+0.2% +0.2σ	+0.4% +0.3σ	+0.4% +0.3σ	-5.2%
Quality	+0.0% -0.0σ	+0.3% +0.3σ	-0.8% -0.7σ	+3.9%
Size	+0.1% +0.1σ	+0.2% +0.2σ	-0.5% -0.1σ	+1.3%
Dividend yield	+0.1% +0.0σ	+0.3% +0.1σ	+1.3% +0.3σ	+5.6%
Momentum	+0.5% +0.5σ	-1.7% -1.0σ	-3.2% -1.2σ	+15.2%
High beta	+0.0% -0.0σ	-2.8% -1.2σ	-3.7% -1.1σ	+13.4%

Also

NY Empire State Manufacturing Index 7.6 (14.75 expected)
Optical Interconnect basket -17.9% vs S&P over 20 sessions
Memory & Storage basket -15.4% vs S&P over 20 sessions
The Stock Market Could Be in for an Autumn Fall. — Barron's
Stocks wobble but no sign of panic as yields surge — Reuters

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 16

Wednesday: Retail Sales MoM (Aug), consensus 0.8%.
Wednesday: FOMC Economic Projections.
Wednesday: Fed Interest Rate Decision, consensus 4%.
Reporting Wednesday: LEN.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Communication Services outruns the S&P by 3.2 points while momentum's AI-linked long leg falls 10 to 14%

Mon, 14 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,620.25-0.5%

VIX17.1+8%

10-year4.97%+1bp

Breadth38%above 50-day · 70% a month ago

In brief

The story

The move. Communication Services beat the S&P by 3.2 points on the day, a z of +3.0 and the 100th percentile of the trailing year; it is the seventh-best one-session run for the sector since January 2020. The index itself fell 0.48% to 7,620.25, its fourth consecutive session in a week that is down 1.2%, and the VIX rose 8% to 17.10.

The books. Momentum's long-short spread lost 3.6% against the S&P, a z of -2.2 and the 4th percentile of the trailing year. The damage sat in the long leg: Corning -14%, Teradyne -13%, Coherent -13%, Hewlett Packard Enterprise -11% and Lumentum -10%, together 12% of the move, with Technology contributing -2.15 points. Reuters reported that tech stocks slid on AI slowdown talk after top lab CEOs called for slowing the technology's development.

The baskets. The same names run through the 20-session tape. Optical Interconnect is 14.9% behind the S&P over 20 sessions (Ciena -25%, Coherent -18%, Corning -13%), Power and Grid Buildout is 9.6% behind (Generac -19%, GE Vernova -18%, NRG -14%), and Nuclear Renaissance lost 5.8% on the week with Constellation -12%. Cybersecurity went the other way, +6.9% on the week on Palo Alto +12%, CrowdStrike +10% and Fortinet +9%.

The market. Breadth thinned: 38% of the index is above its 50-day average against 70% a month ago, a 20-session change at the 9th percentile since 2020. The 10-year yield closed at 4.97%, up 1bp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.4% -0.6σ	-1.2% -0.9σ	-1.9% -1.1σ	+11.9%
Value	+0.4% +0.5σ	+0.5% +0.2σ	+1.0% +0.1σ	+6.7%
Low volatility	+0.5% +0.5σ	+0.1% +0.2σ	-0.0% +0.2σ	-5.4%
Dividend yield	+0.8% +0.8σ	+0.3% +0.1σ	+0.3% +0.0σ	+5.6%
Quality	+0.2% +0.5σ	+0.1% +0.0σ	-0.5% -0.4σ	+3.9%
Size	+1.3% +1.5σ	-0.7% -0.3σ	-1.7% -0.5σ	+1.2%
Momentum	-1.7% -1.7σ	-0.8% -0.6σ	-2.2% -0.9σ	+14.6%
High beta	-2.3% -1.9σ	-1.2% -0.6σ	-2.8% -0.9σ	+13.4%

Also

Optical Interconnect basket -14.9% vs S&P over 20 sessions
AI Infrastructure Leaders basket -10.7% vs S&P over 20 sessions
Tech stocks slide on AI slowdown talks — Reuters
Stock Market Today: Nasdaq Futures Drop, Oil Climbs — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 15

Tuesday: NY Empire State Manufacturing Index (Sep), consensus 14.75.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Three optical names carry the week while the quality spread sits at its 3rd percentile

Fri, 11 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,655.50+0.8%

VIX15.8-11%

Breadth39%above 50-day · 69% a month ago

In brief

The story

The move. The Optical Interconnect basket, four names, finished the week +13.6% against the S&P, a +1.3 z reading and the 91st percentile of the trailing year. Coherent +15%, Corning +14% and Ciena +10% account for 80% of it, all of it Technology. The same two names top the 22-name AI Infrastructure Leaders basket, +6.5% vs the S&P on the week, alongside AMD +13%.

The books. Quality's long-short spread is -3.5% vs the S&P over 20 sessions, z -2.2 and the 3rd percentile of the trailing year, in the eighth session of the move. Moderna +126% in the short leg is the largest single contributor at -1.26pp; on the long side Howmet -19%, TJX -18%, Autodesk -18% and Lululemon -17% each cost about 0.2pp. Healthcare -1.55pp and Industrials -1.15pp lead by sector. The spread's 20-day realized vol, 11.2%, is at the 99th percentile of the trailing year. In the 3,000-name universe quality is +0.6% on the week, +1.3σ.

The market. The S&P closed at 7,655.50, +0.84% on the day (z +1.1), with the VIX down 11.2% to 15.84; the week finished -1.1% and 20 sessions -1.7%. Breadth is thin: 39% of the index sits above its 50-day average against 69% a month ago, a 20-session change at the 10th percentile since 2020, while 59% are above the 200-day. Michigan sentiment printed 47.8 against 51 expected; August CPI matched at 3.4% year on year, with core month on month 0.3% versus 0.2% expected. Elsewhere, Housing Chain is -7.9% vs the S&P over 20 sessions, led by Builders FirstSource -18%, and Crypto Financialization is -6.3% on the week with Robinhood -10% and Coinbase -9%.

Who did it · 80% of the move in these names

Name	Weight	5d	Contrib
COHR Coherent, Inc.	25.0%	+15%	+4.15pp
GLW Corning Inc.	25.0%	+14%	+3.77pp
CIEN Ciena Corporation	25.0%	+10%	+2.80pp

By sector: Technology added 13.3pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.9% +1.1σ	-1.1% -0.9σ	-1.7% -1.0σ	+12.4%
Momentum	+0.3% +0.2σ	+2.7% +1.2σ	-0.0% -0.3σ	+16.6%
High beta	+0.5% +0.4σ	+2.7% +0.9σ	-0.4% -0.4σ	+16.0%
Quality	+0.2% +0.5σ	+0.2% +0.2σ	-1.0% -0.8σ	+3.7%
Value	-0.2% -0.3σ	+0.0% -0.1σ	+1.2% +0.2σ	+6.3%
Low volatility	-0.6% -0.5σ	-0.7% -0.2σ	-0.1% +0.2σ	-5.8%
Dividend yield	-0.4% -0.4σ	-0.9% -0.4σ	-0.2% -0.1σ	+4.8%
Size	-0.2% -0.2σ	-2.2% -1.1σ	-2.9% -0.8σ	-0.1%

Also

Michigan Consumer Sentiment 47.8 (51 expected)
Inflation Rate YoY 3.4% (3.4% expected)
Reported today: KR beat (1.09 vs 1.06)
Travel & Experiences basket -10.2% vs S&P over 20 sessions
Defense & Aerospace basket -9.6% vs S&P over 20 sessions
The four reasons stocks are about to embark on a ‘face-ripper rally' — MarketWatch
Stock Futures Nudge Up, Yields Slip, But Markets Remain on Edge — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Momentum's short leg does the damage: spread -12.8% against the S&P over 60 sessions

Thu, 10 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,592.30-0.6%

VIX17.8+8%

10-year4.95%+12bp

Breadth33%above 50-day · 66% a month ago

In brief

The story

The move. Momentum's long-short spread is -12.8% against the S&P over 60 sessions, a z of -2.0 and the 4th percentile of the trailing year. The short leg did most of the work: Veeva Systems +61% (-0.61pp), Salesforce +48% (-0.48pp) and Workday +43% (-0.43pp) all sit in the bottom quintile, while ON Semiconductor -44% and KLA -31% are in the long book. The five names are 15% of the move; Technology accounts for -6.09pp, Industrials -0.80pp. On the revision tape, momentum's top quintile still carries net +19% raises against -9% in its bottom quintile, the widest gap on the board.

The market. The S&P 500 closed at 7,592, -0.58% on the day, -0.9% on the week and -1.9% over 20 sessions. The 10-year yield rose 12bp to 4.95%; MarketWatch reported yields surging toward the danger zone for stocks as inflation pressures heat up. VIX 17.84, +8.4%. Breadth: 33% of the index is above its 50-day average, from 66% a month ago, a 20-session change at the 9th percentile since 2020. 20-day realized vol is 8.9%, the 12th percentile of the trailing year.

The books. Quality's spread is -4.0% over 20 sessions, z -2.6, its worst 20-session run in a year and session seven of the move; Moderna +115% in the short leg cost 1.15pp, and the spread's 20-day vol of 10.9% sits at the 98th percentile. Cooper Companies fell 14.7% after reporting EPS of 1.15 against 1.12 expected; it is in the Size book. Housing Chain is -8.2% over 20 sessions, with Builders FirstSource -19%. Optical Interconnect is +7.2% on the week, Corning +13%.

Who did it · 15% of the shortfall in these names

Name	Leg	60d	Contrib
VEEV Veeva Systems Inc.	short	+61%	-0.61pp
CRM Salesforce	short	+48%	-0.48pp
ON ON Semiconductor	long	-44%	-0.44pp
WDAY Workday, Inc.	short	+43%	-0.43pp
KLAC KLA Corporation	long	-31%	-0.31pp

By sector: Technology cost 6.1pp; Industrials cost 0.8pp; Communication Services cost 0.5pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.6% -0.8σ	-0.9% -0.8σ	-1.9% -1.1σ	+11.3%
Momentum	-1.2% -1.2σ	+2.1% +0.9σ	-0.4% -0.4σ	+16.3%
High beta	-1.5% -1.3σ	+2.8% +0.9σ	-0.5% -0.4σ	+15.4%
Quality	-0.4% -1.1σ	+0.0% -0.1σ	-0.5% -0.5σ	+3.5%
Value	+0.7% +0.8σ	+0.0% -0.1σ	+1.4% +0.3σ	+6.5%
Low volatility	+0.4% +0.4σ	-0.7% -0.2σ	+0.1% +0.3σ	-5.3%
Dividend yield	+0.5% +0.5σ	-1.1% -0.5σ	+0.6% +0.1σ	+4.9%
Size	-0.2% -0.2σ	-2.8% -1.4σ	-2.2% -0.6σ	+0.1%

Also

Existing Home Sales 3.98M (3.98M expected)
Producer Price Index MoM 0.4% (0.4% expected)
Reported today: ORCL beat (1.92 vs 1.74); CPRT missed (0.35 vs 0.3832); ADBE beat (6.13 vs 6.08)
Memory & Storage basket +10.7% vs S&P over 20 sessions
Travel & Experiences basket -10.1% vs S&P over 20 sessions
Bonds Sell Off Despite Buyback Operation — WSJ
U.S. — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 11

Friday: Core Inflation Rate MoM (Aug), consensus 0.2%.
Friday: Inflation Rate MoM (Aug), consensus 0.4%.
Friday: Core Inflation Rate YoY (Aug), consensus 2.4%.
Reporting Friday: KR.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

AI hardware names carry the week while the same names weigh on quality's short leg

Wed, 09 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,637.70-0.5%

VIX16.5+5%

10-year4.83%+3bp

Breadth38%above 50-day · 64% a month ago

In brief

The story

The move. The AI Infrastructure Leaders basket, 22 names, ended the week 7.6% ahead of the S&P, the 89th percentile of the trailing year. Dell rose 26% for 1.17pp of that, Corning 16% and Teradyne 14%; the three account for 31% of the move and Technology for 7.51pp. The narrower baskets ran further: Memory & Storage was up 9.9% on the week on Sandisk +15%, Micron +10% and Seagate +8%, and Optical Interconnect up 8.6% on Corning, Lumentum +14% and Coherent +12%. The basket's 60-session relative-return correlation with the High beta long book is r=+0.95, the highest of 595 pairs, down 0.01 points from 20 sessions earlier over overlapping windows.

The books. Quality's long-short spread is 3.6% behind the S&P over 20 sessions, z -2.4 and the 1st percentile of the trailing year, in the sixth session of the run. The damage is on the short side: Moderna +124% cost 1.24pp, with Sandisk +39%, Robinhood +22% and Lumentum +21% also short; Lululemon -21% is the long-leg name. Healthcare took 1.51pp and Industrials 1.20pp. The spread's 20-day realized vol, 10.9%, sits at the 97th percentile of the year. In Momentum, Casey's fell 14.2% on the day after reporting EPS of 7.37 against 6.78 expected.

The market. The S&P closed at 7,637.70, down 0.47%, with the VIX up 4.7% to 16.46. The 10-year rose 3bp to 4.83%; Barron's reported yields at new highs after a $6 billion Treasury buyback announcement. Only 38% of the index is above its 50-day average, from 64% a month ago, a 20-session change at the 13th percentile since 2020. Housing Chain is 9.2% behind the S&P over 20 sessions, led by Builders FirstSource -18% and Lennox -13%, and AI Displacement Risk lost 8.2% on the week, with Gartner -11%. Thursday brings August PPI, existing home sales and results from Oracle, Adobe and Copart.

Who did it · 31% of the move in these names

Name	Weight	5d	Contrib
DELL Dell Technologies	4.5%	+26%	+1.17pp
GLW Corning Inc.	4.5%	+16%	+0.71pp
TER Teradyne	4.5%	+14%	+0.65pp

By sector: Technology added 7.5pp; Industrials added 0.1pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.5% -0.7σ	+0.2% -0.1σ	-1.0% -0.8σ	+12.0%
High beta	+0.4% +0.3σ	+4.5% +1.6σ	+2.2% +0.2σ	+17.2%
Momentum	+0.5% +0.4σ	+3.3% +1.5σ	+2.5% +0.4σ	+17.7%
Quality	+0.3% +0.7σ	+0.4% +0.6σ	+0.1% -0.1σ	+3.9%
Value	+0.0% +0.0σ	-0.3% -0.2σ	+0.4% -0.1σ	+5.7%
Low volatility	-0.1% -0.0σ	-1.2% -0.5σ	-0.4% +0.1σ	-5.7%
Dividend yield	-0.7% -0.7σ	-1.8% -0.9σ	-0.3% -0.1σ	+4.5%
Size	-0.8% -0.9σ	-2.5% -1.3σ	-2.3% -0.7σ	+0.2%

Also

Reported today: COO beat (1.15 vs 1.12)
Memory & Storage basket +20.5% vs S&P over 20 sessions
Travel & Experiences basket -10.6% vs S&P over 20 sessions
U.S. — WSJ
Readers Respond to Audit and AI Advice; More Trade Disruptions Ahead — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 10

Thursday: Producer Price Index MoM (Aug), consensus 0.4%.
Thursday: Existing Home Sales (Aug), consensus 3.98M.
Reporting Thursday: ORCL, ADBE, CPRT.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Quality's long leg breaks on single names as the tech tape splits between memory and software

Tue, 08 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,674.13-0.6%

VIX15.7+8%

10-year4.80%+2bp

Breadth43%above 50-day · 66% a month ago

In brief

The story

The move. Quality's long-short spread finished the week 2.3% behind the S&P, a z of -2.3 and the 2nd percentile of the trailing year. The damage sat in the long leg: FICO -19%, Autodesk -18%, PTC -14% and Lululemon -14%, while Intel, in the short leg, rose 17%. Those five names account for 17% of the move, so the rest is broad. By sector, consumer cyclical cost 0.61pp, technology 0.56pp and utilities 0.41pp. The spread's 20-day realized vol is 10.8%, its 96th percentile of the year.

The tech split. AI Software & Platforms lost 6.8% against the S&P on the week, the second session of the move, with Autodesk -18%, Cadence -16% and Adobe -12%. AI Displacement Risk fell 7.5% behind, led by Gartner -13%, FactSet -8% and Omnicom -7%. On the other side, Memory & Storage is up 21.2% over 20 sessions on Sandisk +40%, Micron +16% and Seagate +13%; AI Infrastructure Leaders beat the index by 5.3% on the week (Dell +17%, Vertiv +12%, Corning +12%), and Power & Grid Buildout by 4.6%, its 95th percentile, on Vistra +10%, Constellation +9% and NRG +9%.

The market. The S&P closed at 7,674, down 0.58%, with the VIX up 8.2% to 15.72 and the 10-year at 4.80%, up 2bp. Only 43% of the index sits above its 50-day average, from 66% a month ago, a 20-session drop at the 16th percentile since 2020. Twenty-day realized vol is 8.6%, the 9th percentile of the year. Analysts raised 70 FY1 estimates and cut 64, a net +1.2% at the 9th percentile of the series. Casey's reported EPS of 7.37 against 6.78 expected. Cooper Companies reports Wednesday.

Who did it · 17% of the shortfall in these names

Name	Leg	5d	Contrib
FICO Fair Isaac	long	-19%	-0.19pp
ADSK Autodesk	long	-18%	-0.18pp
INTC Intel	short	+17%	-0.17pp
PTC PTC Inc.	long	-14%	-0.14pp
LULU Lululemon Athletica	long	-14%	-0.14pp

By sector: Consumer Cyclical cost 0.6pp; Technology cost 0.6pp; Utilities cost 0.4pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.6% -0.8σ	-0.1% -0.3σ	-0.9% -0.8σ	+12.6%
Momentum	+1.4% +1.3σ	+2.5% +1.1σ	+2.3% +0.3σ	+17.2%
High beta	+1.6% +1.2σ	+2.6% +0.8σ	+2.2% +0.2σ	+16.6%
Value	-0.5% -0.6σ	+0.8% +0.4σ	+0.8% +0.1σ	+5.7%
Low volatility	-0.1% -0.0σ	-0.5% -0.1σ	-0.2% +0.2σ	-5.6%
Dividend yield	+0.1% +0.1σ	-0.5% -0.3σ	+1.1% +0.2σ	+5.1%
Quality	-0.2% -0.6σ	-0.3% -0.4σ	-0.0% -0.2σ	+3.7%
Size	-0.9% -1.0σ	-1.9% -0.9σ	-1.2% -0.3σ	+1.0%

Also

Reported today: CASY beat (7.37 vs 6.78)
Memory & Storage basket +21.2% vs S&P over 20 sessions
Crypto Financialization basket +10.2% vs S&P over 20 sessions
Momentum takes the 20-day lead from Value
U.S. stocks usually stumble after Fed hikes, but these markets tend to climb, says Citi — MarketWatch
Yen Strengthens on Prospects of Two BOJ Rate Hikes by Year-End — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.

Tomorrow · Sep 9

Reporting Wednesday: COO.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

AI software basket trails the S&P by 5.2% on the week as the design names slide

Fri, 04 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,717.81-0.4%

VIX14.5+1%

10-year4.78%+1bp

Breadth48%above 50-day · 67% a month ago

In brief

The story

The move. The AI Software & Platforms basket closed the week 5.2% behind the S&P, a z of -1.2 and the 10th percentile of the trailing year. Three design-software names did about half the damage: Autodesk -16%, Cadence Design Systems -14% and Synopsys -11%, together 48% of the move. All of the drag sat in Technology, -5.54pp.

The market. The S&P fell 0.39% to 7,717.81, leaving it +0.1% on the week. August payrolls came in at 162K against 56K expected, private payrolls 127K against 45K, and unemployment held at 4.1% as expected. The 2-year finished at 4.37%; CNBC reported it rose to its highest since January 2025 after the jobs report lifted expectations that the Fed could raise rates, and the WSJ put the equity dip down to the same print. The 10-year added 1bp to 4.78%. Breadth crossed below half: 48% of the index is above its 50-day average, from 67% a month ago, a 20-session change at the 20th percentile since 2020. VIX 14.53.

The books. Quality's long-short spread is -3.5% against the S&P over 20 sessions, z -2.3 and the 2nd percentile of the trailing year, in its fourth session. The short leg did it: Moderna +146%, Sandisk +44%, Robinhood +31% and Phillips 66 +26%, while Lululemon, -22%, cost the long leg. Lululemon dropped 17.4% today after reporting EPS of 2.92 against 1.79 expected; it sits in the Value, Quality and Size books. Elsewhere Memory & Storage gained 7.7% on the week on Sandisk +17% and Micron +9%, and Nuclear Renaissance 5.1% on Vistra +9% and Constellation +8%.

Who did it · 48% of the move in these names

Name	Weight	5d	Contrib
ADSK Autodesk	6.7%	-16%	-1.10pp
CDNS Cadence Design Systems	6.7%	-14%	-0.94pp
SNPS Synopsys	6.7%	-11%	-0.74pp

By sector: Technology cost 5.5pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	-0.4% -0.6σ	+0.1% -0.1σ	-0.3% -0.6σ	+13.2%
Momentum	+1.8% +1.6σ	+1.3% +0.6σ	+0.7% -0.1σ	+15.5%
High beta	+1.7% +1.3σ	+1.6% +0.5σ	-0.1% -0.3σ	+14.8%
Value	-0.1% -0.1σ	+0.7% +0.3σ	+1.5% +0.3σ	+6.4%
Quality	+0.4% +1.0σ	+0.0% -0.0σ	+0.1% -0.1σ	+3.9%
Low volatility	-0.3% -0.3σ	-0.6% -0.1σ	-0.0% +0.2σ	-5.5%
Dividend yield	-0.4% -0.4σ	-0.9% -0.4σ	+0.7% +0.1σ	+5.1%
Size	-0.2% -0.3σ	-1.4% -0.7σ	-0.4% -0.1σ	+1.9%

Also

Unemployment Rate 4.1% (4.1% expected)
U-6 Unemployment Rate 7.7% (8% expected)
Memory & Storage basket +18.4% vs S&P over 20 sessions
Optical Interconnect basket -14.0% vs S&P over 20 sessions
Stocks Fall After Hot Jobs Report — WSJ
Rates Climb, Stocks Dip After Strong U.S. — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Headlines are quoted from their publishers for context.

Calendar correction · September 5, 2026: the emailed edition labeled September 7 as the next session. NYSE is closed for Labor Day; the next regular session is September 8. Exchange calendar.

Next session · Sep 8

September in the 30-year record: S&P -0.5% mean, positive 57% of the time; Momentum averaged +1.7%.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Index rallies 1.1% while half the S&P sits above its 50-day

Thu, 03 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,748.27+1.1%

VIX14.3-6%

10-year4.77%-2bp

Breadth51%above 50-day · 65% a month ago

In brief

The story

The market. The S&P 500 rose 1.07% to 7,748.27, a 1.3 textsigma session, with the VIX down 5.8% to 14.32 and the 10-year yield off 2bp at 4.77%. The Wall Street Journal attributed the rally in stocks and bonds to dovish Fed comments. Breadth did not follow: 51% of the index is above its 50-day average, down from 65% a month ago, a 20-session change at the 27th percentile since 2020; 68% remain above the 200-day.

The baskets. Optical interconnect lost 12.0% against the S&P on the week, a 1.8 textsigma move in its second session, with Ciena -21%, Lumentum -11% and Coherent -10% accounting for 90% of it. Ciena reported EPS of 2.11 against 1.73 expected. Cybersecurity fell 5.7% versus the index on the week, 1.5 textsigma and the 5th percentile of the trailing year; Palo Alto Networks -13%, Fortinet -10% and CrowdStrike -6% did 79% of the damage.

The books. Quality's long-short spread is down 3.6% versus the S&P over 20 sessions, a 2.4 textsigma move at the 1st percentile of the trailing year and the worst such run in a year, now in its third session. The short leg did it: Moderna +176% cost 1.76pp, Robinhood +37% cost 0.38pp and Coinbase +33% cost 0.33pp, and healthcare took 2.17pp off the spread. Spread volatility of 10.7% sits at its 95th percentile.

The prints. ISM services PMI came in at 55.4 against 54.3 expected, with prices paid at 72.6 versus 70. Initial claims were 206K. August payrolls land Friday, consensus 56K.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+1.1% +1.3σ	+0.3% -0.0σ	+0.7% -0.3σ	+13.6%
Value	-0.2% -0.3σ	+1.2% +0.6σ	+1.2% +0.1σ	+6.4%
Low volatility	-0.6% -0.5σ	+0.4% +0.3σ	-0.5% +0.1σ	-5.1%
Dividend yield	-0.7% -0.7σ	+0.0% -0.0σ	+1.1% +0.2σ	+5.5%
Size	-0.8% -0.9σ	-0.9% -0.5σ	-0.2% -0.0σ	+2.1%
High beta	+0.6% +0.4σ	-1.5% -0.7σ	-1.1% -0.5σ	+12.9%
Quality	-0.1% -0.2σ	-0.5% -0.8σ	-0.3% -0.3σ	+3.5%
Momentum	-0.3% -0.4σ	-1.7% -1.0σ	-1.1% -0.6σ	+13.5%

Also

ISM Non-Manufacturing Prices 72.6 (70 expected)
ISM Services PMI 55.4 (54.3 expected)
Reported today: LULU beat (2.92 vs 1.79); CIEN beat (2.11 vs 1.73)
Crypto Financialization basket +16.7% vs S&P over 20 sessions
Optical Interconnect basket -12.7% vs S&P over 20 sessions
Stocks, Bonds Rally After Dovish Fed Comments — WSJ
Stocks Climb As Rate Hike Fears Ebb — WSJ

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Headlines are quoted from their publishers for context.

Tomorrow · Sep 4

Friday: Non Farm Payrolls (Aug), consensus 56K.
Friday: U-6 Unemployment Rate (Aug), consensus 8%.
Friday: Nonfarm Payrolls Private (Aug), consensus 45K.
September in the 30-year record: S&P -0.5% mean, positive 57% of the time; Momentum averaged +1.7%.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

Quality's short leg does the damage as Industrials post their eighth-worst week since 2020

Wed, 02 Sep 2026 21:30:00 GMT

Market snapshot

S&P 5007,667.45+0.5%

VIX15.2-7%

10-year4.79%+0bp

Breadth48%above 50-day · 68% a month ago

In brief

The story

The move. Quality's long-short spread has lost 4.0% against the S&P over 20 sessions, a 2.8σ move at the bottom of the trailing-year range and the worst 20-session run in a year; today was the second session of it. Most of the damage sits in the short leg: Moderna, up 168%, cost 1.68 points on its own, and Phillips 66 (+27%) and Paramount Skydance (+25%) another half point. On the long side AppLovin fell 24% and Applied Materials 18%. Healthcare accounts for about two of the four points, Industrials one. The spread's 20-day realized vol of 10.8% is at the 96th percentile of the year.

The week. Industrials trailed the S&P by 4.1%, a 2.4σ move and the eighth-worst five-session run since 2020. The Defense & Aerospace basket lagged by 4.6%, with Axon down 17%, GE Aerospace 7% and Howmet 6%. Optical Interconnect lost 8.3% against the index on Ciena, Coherent and Lumentum; Ciena reports Thursday.

The market. The S&P rose 0.47% to 7,667.45 and the VIX fell 7% to 15.20, yet only 48% of members are above their 50-day average, down from 68% a month ago. The 10-year held at 4.79%; CNBC reported the New York Fed's Williams attributing the yield surge to strong economic prospects. ADP printed 38K against 47K expected. Jobless claims land Thursday.

Who did it · 27% of the shortfall in these names

Name	Leg	20d	Contrib
MRNA Moderna	short	+168%	-1.68pp
PSX Phillips 66	short	+27%	-0.27pp
PSKY Paramount Skydance Corp	short	+25%	-0.25pp
APP AppLovin Corporation	long	-24%	-0.24pp
AMAT Applied Materials	long	-18%	-0.18pp

By sector: Healthcare cost 2.0pp; Industrials cost 1.0pp; Technology cost 0.7pp.

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Factor	1D	5D	20D	YTD
S&P 500 (computed) absolute	+0.5% +0.5σ	-0.1% -0.3σ	-0.6% -0.7σ	+12.4%
Value	+0.4% +0.5σ	-0.2% -0.2σ	+1.5% +0.2σ	+6.7%
Low volatility	-0.2% -0.1σ	-0.8% -0.3σ	+0.3% +0.3σ	-4.6%
Dividend yield	-0.2% -0.2σ	-0.8% -0.4σ	+1.8% +0.4σ	+6.2%
Size	+0.1% +0.1σ	-1.3% -0.7σ	+0.2% +0.1σ	+2.9%
High beta	+0.1% +0.1σ	-1.5% -0.7σ	-2.5% -0.8σ	+12.3%
Quality	+0.0% +0.1σ	-0.6% -0.9σ	-0.5% -0.5σ	+3.5%
Momentum	-0.1% -0.1σ	-1.6% -1.0σ	-1.9% -0.8σ	+13.9%

Also

ADP Employment Change 38K (47K expected)
Reported today: AVGO beat (3.32 vs 3.22); BF-B met (0.38 vs 0.38); HPE beat (1.11 vs 0.932) +1
US Energy Complex basket +14.3% vs S&P over 20 sessions
Commodity Producers basket +10.9% vs S&P over 20 sessions
S&P 500 20-day realized vol 7.6%, a low since 2020
Stocks Rise As Middle East Tensions Fray — WSJ
Stocks that rise when the S&P 500 falls are weirdly keeping up with the rest of Wall Street — MarketWatch

Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Headlines are quoted from their publishers for context.

Tomorrow · Sep 3

Thursday: Continuing Jobless Claims (Aug/22), consensus 1816.
Thursday: Initial Jobless Claims (Aug/29), consensus 205K.
Thursday: Jobless Claims 4-Week Average (Aug/29), consensus 205K.
Reporting Thursday: CIEN, LULU.
September in the 30-year record: S&P -0.5% mean, positive 57% of the time; Momentum averaged +1.7%.

The narrative in this brief is drafted by an AI model from Factor Watch's computed data and checked against it, but it can still be wrong — verify anything before you act on it.

A quiet tape — no unusual factor moves

Tue, 01 Sep 2026 21:30:00 GMT

A quiet tape — no unusual factor moves. The close-of-day factor digest for September 1, 2026.

A quiet tape — no unusual factor moves

Mon, 31 Aug 2026 21:30:00 GMT

A quiet tape — no unusual factor moves. The close-of-day factor digest for August 31, 2026.

A quiet tape — no unusual factor moves

Fri, 28 Aug 2026 21:30:00 GMT

A quiet tape — no unusual factor moves. The close-of-day factor digest for August 28, 2026.

Value stood out: -1.7% vs the index over 1 session

Thu, 27 Aug 2026 21:30:00 GMT

Value stood out: -1.7% vs the index over 1 session. Value 1d vs S&P: -1.7% (-2.0σ, 2nd pctile). The close-of-day factor digest for August 27, 2026.

Factor Watch — Daily briefs

High beta's long-short spread falls 13.1% vs the S&P on the week while value, low volatility and dividend yield post their best runs in a year

Market snapshot

In brief

The story

Who did it · 9% of the shortfall in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Next session · Oct 19

Related

Momentum's bottom quintile rallies on the day; quality's 20-session run reaches 3σ

Market snapshot

In brief

The story

Who did it · 8% of the shortfall in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 16

Related

Healthcare's third-best session since 2020 as high beta's long-short spread posts its worst week in a year

Market snapshot

In brief

The story

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 15

Related

AI Displacement Risk rebounds 8.2% vs the S&P in a week while Optical Interconnect drops 12.1%

Market snapshot

In brief

The story

Who did it · 63% of the move in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 14

Related

AI Infrastructure Leaders fall 6.5% against the S&P on the week as Seagate, Coherent and Teradyne each lose 14% or more

Market snapshot

In brief

The story

Who did it · 28% of the move in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 13

Related

Momentum books its best 20 sessions in a year while the same chip names sink value

Market snapshot

In brief

The story

Who did it · 10% of the gain in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Next session · Oct 5

Related

Quality's long-short spread posts its best 20 sessions in a year while Basic Materials falls 5.7% behind on the week

Market snapshot

In brief

The story

Who did it · 12% of the gain in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 2

Related

Quality's long-short spread posts its best 20-session run in a year while breadth thins to 21% above the 50-day

Market snapshot

In brief

The story

Who did it · 13% of the gain in these names

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Oct 1

Related

A quarter of the index above its 50-day average as yields climb

Market snapshot

In brief

The story

The board · factors vs S&P 500, relative return with z vs the trailing year, sorted by the week

Also

Tomorrow · Sep 29

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