Market snapshot
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.