Market snapshot
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.