Market snapshot
In brief
The story
The move. Value finished the week 4.7% behind the S&P, a z of -2.6 and the worst five-session run against the index in a year, now three sessions old. Wells Fargo -6%, Verizon -7%, Bank of America -3%, Berkshire Hathaway -2% and CVS Health -6% account for 28% of the gap; Financial Services alone took 2.18 points, Communication Services 0.68 and Healthcare 0.65. The sector itself sits 3.8% behind the S&P on the week (z -2.1, 1st percentile of the trailing year). In the 3,000-name universe value is -4.1%, -2.4σ.
The market. The S&P 500 fell 0.72% to 7,708.55. The 10-year yield rose 15bp to 5.11%, which the WSJ called a 19-year high amid a broad bond selloff, and MarketWatch reported financial stocks falling as rates rise. The two-year is 4.85%. VIX added 6.8% to 15.18. Only 29% of the index is above its 50-day average, from 59% a month ago; that 20-session drop sits at the 10th percentile since 2020.
The baskets. Cybersecurity is 10.9% ahead of the S&P over 20 sessions (90th percentile), with CrowdStrike +42% worth 6.86 points and Fortinet and Palo Alto Networks +16% each. Crypto Financialization is +6.5% on the week on Coinbase +20% and Robinhood +18%. On the other side, Housing Chain is -7.5% in 20 (BLDR -15%, Home Depot -12%, Lowe's -11%) and Hospitals & Providers is -5.0% on the week, with LabCorp, Quest Diagnostics and DaVita each -6%.
Who did it · 28% of the shortfall in these names
| Name | Weight | 5d | Contrib |
|---|---|---|---|
| WFC Wells Fargo | 5.0% | -6% | -0.39pp |
| VZ Verizon | 4.0% | -7% | -0.34pp |
| BAC Bank of America | 5.0% | -3% | -0.26pp |
| BRK-B Berkshire Hathaway | 5.0% | -2% | -0.22pp |
| CVS CVS Health | 2.3% | -6% | -0.19pp |
By sector: Financial Services cost 2.2pp; Communication Services cost 0.7pp; Healthcare cost 0.6pp.
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 | -0.8% -1.0σ | +2.0% +1.0σ | +0.4% -0.3σ | +13.0% |
| High beta | -0.1% -0.2σ | +5.0% +1.7σ | +5.7% +0.9σ | +19.8% |
| Momentum | +0.2% +0.1σ | +3.2% +1.5σ | +3.5% +0.7σ | +19.4% |
| Quality | +0.2% +0.4σ | +1.1% +1.4σ | +1.2% +0.6σ | +5.3% |
| Low volatility | +0.4% +0.5σ | -3.4% -1.5σ | -5.1% -1.1σ | -8.8% |
| Size | -0.1% -0.1σ | -3.1% -1.6σ | -6.1% -1.8σ | -2.3% |
| Dividend yield | -0.1% -0.1σ | -4.2% -1.9σ | -6.4% -1.7σ | +0.4% |
| Value | +0.1% +0.1σ | -4.7% -2.6σ | -5.2% -1.8σ | +0.9% |
Also
- Reported today: CTAS beat (1.39 vs 1.35); GIS beat (0.75 vs 0.717); PAYX beat (1.34 vs 1.32)
- Memory & Storage basket +13.5% vs S&P over 20 sessions
- Travel & Experiences basket -13.2% vs S&P over 20 sessions
- FW 3000: Value -4.1% (-2.4σ) on the week vs the broad benchmark
- Financial stocks fall with AI and flattening yield curve in focus — Reuters
- Financial stocks are falling as rates rise. — MarketWatch
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Sep 24
- Thursday: Initial Jobless Claims (Sep/19), consensus 201K.
- Thursday: Continuing Jobless Claims (Sep/12), consensus 1750K.
- Thursday: Jobless Claims 4-Week Average (Sep/19), consensus 203K.
- Reporting Thursday: COST, DRI.
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.