Market snapshot
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.