Market snapshot
In brief
The story
The move. Value's long-short spread fell 5.6% against the S&P on the week, a z of -2.5, the 0th percentile of the trailing year and its worst five-session run in a year. The damage came from the short leg: Intel and Advanced Micro Devices each rose 25%, Coherent 21%, Moderna and Marvell 18%, together 15% of the move, with Technology alone costing 2.65pp. The same names carried the AI Infrastructure Leaders basket 8.4% past the S&P and the Optical Interconnect basket 13.0%, where Coherent, Ciena and Lumentum made up 83% of the move. In the 3,000-name universe, value was -4.5% on the week, -2.7σ.
The other side. Dividend yield fell 4.5% against the S&P on the week, z -2.2, also its worst five-session run in a year. Verizon -7%, PepsiCo -5%, Chevron, Philip Morris and AT&T -4%; Consumer Defensive cost 0.86pp, Communication Services 0.76pp, Utilities 0.69pp. The Defensives basket fell the same 4.5%, led by Verizon, Sysco and Republic Services. The two books' 60-session relative daily returns sit at r=+0.96, the highest pair on the board, against r=+0.95 twenty sessions earlier on overlapping windows.
The market. The S&P closed at 7,764.22, up 1.49%, z +1.8; the 10-year yield fell 5bp to 4.96% and the VIX held at 14.80. Reuters put it as AI stocks lifting Wall Street as oil fell and Treasury yields declined. Energy lagged the index by 4.0% on the day (z -2.4), Communication Services led by 2.2% (z +2.0). Only 31% of the index sits above its 50-day average, from 58% a month ago. AutoZone reports Tuesday.
Who did it · 15% of the shortfall in these names
| Name | Leg | 5d | Contrib |
|---|---|---|---|
| INTC Intel | short | +25% | -0.25pp |
| AMD Advanced Micro Devices | short | +25% | -0.25pp |
| COHR Coherent, Inc. | short | +21% | -0.21pp |
| MRNA Moderna | short | +18% | -0.18pp |
| MRVL Marvell Technology, Inc. | short | +18% | -0.18pp |
By sector: Technology cost 2.6pp; Healthcare cost 1.0pp; Financial Services cost 0.8pp.
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 | +1.5% +1.8σ | +1.9% +0.9σ | +1.4% -0.0σ | +14.0% |
| High beta | +2.1% +1.6σ | +5.1% +1.8σ | +4.3% +0.6σ | +19.1% |
| Momentum | +0.8% +0.7σ | +3.5% +1.7σ | +2.2% +0.3σ | +18.6% |
| Quality | +0.5% +1.4σ | +0.8% +1.0σ | +0.5% +0.2σ | +4.7% |
| Low volatility | -1.8% -1.8σ | -3.5% -1.5σ | -4.4% -0.9σ | -8.8% |
| Size | -1.3% -1.5σ | -3.6% -1.9σ | -6.5% -1.9σ | -2.5% |
| Dividend yield | -1.8% -1.8σ | -4.5% -2.2σ | -5.7% -1.5σ | +0.9% |
| Value | -1.8% -2.2σ | -4.5% -2.5σ | -3.6% -1.3σ | +2.0% |
Also
- Travel & Experiences basket -10.5% vs S&P over 20 sessions
- Housing Chain basket -9.9% vs S&P over 20 sessions
- FW 3000: Value -4.5% (-2.7σ) on the week vs the broad benchmark
- AI stocks lift Wall St as oil falls, Treasury yields decline — Reuters
- Global Stocks Rally, Yields Lower as Oil Prices Extend Falls — 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 22
- Reporting Tuesday: AZO.
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.