Market snapshot
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.