Market snapshot
In brief
The story
The move. The momentum long book is 11.0% behind the S&P over 60 sessions, a z of -2.3 and the fifth-worst 60-session run since March 2020; today was the second session of the move. High beta is 11.3% behind, z -2.1, its worst 60-session stretch in a year. The same four chip names sit at the top of both lists: Micron -24%, Lam Research -34%, Intel -28%, Applied Materials -35%, together with Caterpillar -23% in momentum and Broadcom -13% in high beta. Technology accounts for about 6.5pp of each book's shortfall. On 60-session relative daily returns, low volatility and high beta run at r=-0.85, unchanged from 20 sessions earlier on overlapping windows.
The market. The S&P fell 0.43% to 7,553, leaving it 1.0% lower on the week and 1.6% lower over 20 sessions. The Fed set its rate at 4%, in line with expectations and up from 3.75%, which CNBC called the first hike since 2023; August retail sales rose 1.4% against 0.4% expected. The 10-year yield ended at 5.01%. Only 32% of the index is above its 50-day average, from 61% a month ago, a 20-session drop at the 11th percentile since 2020. Quality took the 20-day lead from value for the first session.
The baskets. Space Economy is 8.7% behind the S&P over 20 sessions, with RTX -13% and Lockheed Martin -11%. Regional Banks are 7.3% behind, Huntington and M&T both -10%. Hospitals & Providers are 6.7% ahead, DaVita +9%. Optical Interconnect lost 5.8% to the index on the week as Corning fell 14%. Lennar reported EPS of 1.23 against 1.28 expected; housing starts follow Thursday.
Who did it · 39% of the shortfall in these names
| Name | Weight | 60d | Contrib |
|---|---|---|---|
| MU Micron Technology | 5.0% | -24% | -1.24pp |
| LRCX Lam Research | 2.9% | -34% | -1.03pp |
| INTC Intel | 3.2% | -28% | -0.95pp |
| AMAT Applied Materials | 2.5% | -35% | -0.90pp |
| CAT Caterpillar Inc. | 2.6% | -23% | -0.64pp |
By sector: Technology cost 6.5pp; Industrials cost 1.6pp; Financial Services 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 | -0.4% -0.6σ | -1.0% -0.8σ | -1.6% -0.9σ | +10.9% |
| Size | -0.4% -0.5σ | +0.6% +0.3σ | -1.5% -0.4σ | +0.9% |
| Quality | +0.2% +0.6σ | +0.2% +0.2σ | -0.0% -0.1σ | +4.2% |
| Low volatility | -0.4% -0.3σ | +0.1% +0.1σ | -1.4% -0.1σ | -5.6% |
| Dividend yield | -1.0% -1.0σ | +0.0% -0.0σ | -1.0% -0.3σ | +4.7% |
| Value | -1.2% -1.4σ | +0.1% -0.0σ | -0.2% -0.2σ | +5.8% |
| Momentum | +0.5% +0.4σ | -1.7% -1.0σ | -1.0% -0.6σ | +15.7% |
| High beta | +0.7% +0.5σ | -2.6% -1.1σ | -0.2% -0.3σ | +14.2% |
Also
- Reported today: LEN missed (1.23 vs 1.28)
- Defense & Aerospace basket -9.9% vs S&P over 20 sessions
- Travel & Experiences basket -9.3% vs S&P over 20 sessions
- Quality takes the 20-day lead from Value
- Oil Pares Gains, Stock Futures Steady as Cautious Optimism Heralds Fed Day — 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 17
- Thursday: Housing Starts (Aug), consensus 1.31M.
- Thursday: Continuing Jobless Claims (Sep/05), consensus 1780K.
- Thursday: Initial Jobless Claims (Sep/12), consensus 208K.
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.