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.