Market snapshot
In brief
The story
The move. Value's long book finished five sessions 5.9% behind the S&P, a 3.3σ move, the worst week of the trailing year and the 10th-worst since January 2020, in the second session of the slide. Financial Services cost 2.81 points and Communication Services 1.04. Verizon fell 10%, Wells Fargo 7%, Bank of America and AT&T 6% and Berkshire Hathaway 3%; those five account for 30% of the shortfall. Reuters reported financial stocks fell with AI and a flattening yield curve in focus. The sector itself trailed the index by 5.3% on the week, a 3.0σ move. In the 3,000-name universe value lagged 5.1%, a 3.1σ move.
The other side. High beta beat the S&P by 5.8% on the week, with AMD +24%, Micron +18%, Intel +28%, Meta +10% and Lam Research +15% supplying 48% of the gain and Technology 5.23 points. The Memory & Storage basket led everything at +15.8% versus the index, Sandisk +23% and Seagate +19% alongside Micron. The same names sat in the short leg of the dividend yield spread, which lagged 4.7%. Over 60 sessions of daily relative returns to September 22, high beta and dividend yield long books read r=-0.88, from r=-0.86 twenty sessions earlier on overlapping windows.
The market. The S&P closed at 7,764, flat on the day and up 2.3% on the week, with the VIX at 14.21. Breadth narrowed: 31% of the index above its 50-day average against 61% a month ago. Energy trailed the S&P by 8.2% on the week; Barron's reported oil fell on a report Iran offered to open Hormuz in seven days. Basic Materials beat the index by 2.0% on the day. AutoZone reported EPS of 0.56 against 0.54 expected. Cintas, Paychex and General Mills report Wednesday.
Who did it · 30% of the shortfall in these names
| Name | Weight | 5d | Contrib |
|---|---|---|---|
| VZ Verizon | 4.0% | -10% | -0.48pp |
| WFC Wells Fargo | 5.0% | -7% | -0.48pp |
| BAC Bank of America | 5.0% | -6% | -0.39pp |
| T AT&T | 3.4% | -6% | -0.29pp |
| BRK-B Berkshire Hathaway | 5.0% | -3% | -0.24pp |
By sector: Financial Services cost 2.8pp; Communication Services cost 1.0pp; Energy 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 | -0.0% -0.1σ | +2.3% +1.2σ | +1.6% +0.1σ | +13.9% |
| High beta | +0.7% +0.5σ | +5.8% +2.1σ | +6.8% +1.1σ | +20.0% |
| Momentum | +0.5% +0.4σ | +3.4% +1.6σ | +3.9% +0.8σ | +19.2% |
| Quality | +0.4% +1.0σ | +1.2% +1.5σ | +1.1% +0.6σ | +5.2% |
| Size | +0.3% +0.4σ | -3.4% -1.7σ | -6.8% -2.0σ | -2.2% |
| Low volatility | -0.5% -0.4σ | -4.2% -1.8σ | -6.2% -1.3σ | -9.2% |
| Dividend yield | -0.4% -0.4σ | -5.0% -2.4σ | -6.9% -1.9σ | +0.5% |
| Value | -1.1% -1.3σ | -5.9% -3.3σ | -5.6% -1.9σ | +0.8% |
Also
- Reported today: AZO beat (0.5605 vs 0.5408)
- Memory & Storage basket +15.6% vs S&P over 20 sessions
- Travel & Experiences basket -11.9% vs S&P over 20 sessions
- FW 3000: Value -5.1% (-3.1σ) on the week vs the broad benchmark
- Financial stocks fall with AI and flattening yield curve in focus — Reuters
- Nasdaq reaches record high close, AI stocks rally — 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 23
- Reporting Wednesday: CTAS, PAYX, GIS.
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.