Market snapshot
In brief
The story
The market. The S&P 500 closed at 7,684.50, down 0.76% on the day (z -1.1) and 1.2% on the week. The 10-year yield rose 7bp to 5.24%, with the 2-year at 4.92%; the WSJ reported the Treasury selloff extending into jobs week, and MarketWatch described yields moving relentlessly higher. VIX rose 8.1% to 16.07. Breadth is the number: 25% of the index sits above its 50-day average, from 53% a month ago, a 20-session change at the 12th percentile since 2020. 47% remain above the 200-day.
The baskets. AI Displacement Risk is 10.5% behind the S&P over 20 sessions (z -0.9), with Omnicom -14%, FactSet -13% and CDW -12% making up 60% of the move. Space Economy is 8.5% behind (z -1.0) on Leidos -13%, Boeing -12% and RTX -11%. Regional Banks trail by 6.7% and Payments & Fintech by 6.5%, where FIS is -16%. Optical Interconnect lost 5.6% to the index on the week, Coherent -12%.
The correlation. Capital Markets Cycle and Managed Care & Health Insurers show the largest 60-session change on the board: benchmark-relative daily returns correlate at r=-0.07 through September 28, against r=+0.29 in the window ending August 28, a move of -0.36 points on overlapping windows. The 20-session reading is r=+0.04, the one-year r=+0.13.
The calendar. The month-end factor rebalance prints at the September 30 close. Momentum leads the September quilt at +4.7%, with the S&P fourth of eight, and took the top of the trailing-20-day tape for the first time. Tuesday brings JOLTs job openings for August, consensus 7.24M, and Carnival reports.
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% -1.1σ | -1.2% -0.9σ | -0.4% -0.5σ | +12.6% |
| Quality | +0.0% +0.0σ | +1.0% +1.2σ | +1.8% +1.0σ | +5.8% |
| Momentum | -0.0% -0.1σ | +1.0% +0.3σ | +5.1% +1.1σ | +19.7% |
| Low volatility | +0.6% +0.7σ | +0.3% +0.3σ | -3.7% -0.7σ | -8.5% |
| High beta | -1.0% -0.9σ | -0.5% -0.3σ | +4.9% +0.7σ | +18.5% |
| Size | +0.3% +0.4σ | -0.7% -0.3σ | -6.3% -1.8σ | -3.2% |
| Dividend yield | +0.4% +0.4σ | -1.0% -0.5σ | -5.9% -1.6σ | -0.1% |
| Value | -0.3% -0.3σ | -1.2% -0.7σ | -4.6% -1.6σ | +0.7% |
Also
- Memory & Storage basket +10.3% vs S&P over 20 sessions
- Defense & Aerospace basket -10.2% vs S&P over 20 sessions
- Momentum takes the 20-day lead from High beta
- Capital Markets Cycle × Managed Care & Health Insurers: 60-session correlation of daily returns minus the S&P 500 is r=-0.07 (60 paired sessions), versus r=+0.29 (60 paired sessions) for the 60-session period ending 2026-08-28, 20 sessions earlier. Factors use long portfolios.
- Low volatility 20-day realized vol 6.7%, a low since 2020
- Treasury Selloff Extends, Stock Futures Slide to Kick Off Jobs Week — WSJ
- Oil Prices Rise as U.S.-Iran Talks Face Fresh Hurdles — 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 29
- Tuesday: JOLTs Job Openings (Aug), consensus 7.24M.
- Reporting Tuesday: CCL.
- Month-end factor rebalance at the September 30 close.
- September so far: Momentum leads the quilt (+4.7%); the S&P sits 4th of 8.
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.