Market snapshot
In brief
The story
The move. Quality's long-short spread ended September +2.1% against the S&P over 20 sessions, z +2.2 and the 100th percentile of the trailing year, its best 20-session run in a year. Both legs did work: Dell +27% and Meta +25% in the long leg, Charter -24%, MGM -24% and General Mills -22% in the short. Those five explain only 13% of the move; by sector, Utilities added 0.91pp, Real Estate 0.44pp and Basic Materials 0.42pp. The spread's 20-day realized vol sits at 6.7%, the 35th percentile.
The laggards. Commodity Producers are -9.6% vs the S&P over 20 sessions, z -1.8 and the 2nd percentile of the trailing year, in session four of the move: Albemarle -22%, Weyerhaeuser -18%, Expand Energy -16%, with Energy -4.44pp and Basic Materials -3.42pp. Defensives are -6.6% (z -1.1), with General Mills -22% and Clorox -15%. Defensives and the dividend yield long book remain the tightest pair on the board at r=+0.94 over 60 sessions of daily relative returns, -0.01 coefficient points from 20 sessions earlier on overlapping windows.
The market. The S&P closed at 7,653.56, -0.23% on the day and -0.8% on the week, with the 10-year at 5.29% (+3bp) and VIX at 16.34. Core PCE ran 3% year on year against 3.3% expected; Reuters attributed the Nasdaq's gain to soft inflation dampening rate hike expectations. Breadth is 21% above the 50-day, from 46% a month ago, a 20-session change at the 15th percentile since 2020. The month-end factor rebalance took effect at tonight's close; the adds and drops are below. Micron reported EPS of 33.42 vs 31.72 expected. Thursday brings jobless claims (consensus 200K) and results from ACN, NKE and MKC.
Who did it · 13% of the gain in these names
| Name | Leg | 20d | Contrib |
|---|---|---|---|
| DELL Dell Technologies | long | +27% | +0.27pp |
| META Meta Platforms | long | +25% | +0.25pp |
| CHTR Charter Communications | short | -24% | +0.24pp |
| MGM MGM Resorts | short | -24% | +0.24pp |
| GIS General Mills | short | -22% | +0.22pp |
By sector: Utilities added 0.9pp; Real Estate added 0.4pp; Basic Materials added 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 | -0.3% -0.4σ | -0.8% -0.7σ | +0.3% -0.3σ | +12.1% |
| Quality | -0.3% -0.8σ | +0.5% +0.5σ | +2.3% +1.3σ | +5.9% |
| Momentum | -0.0% -0.1σ | +0.8% +0.2σ | +5.6% +1.2σ | +20.3% |
| Low volatility | -0.8% -0.8σ | -0.6% -0.1σ | -5.1% -1.0σ | -9.3% |
| High beta | +0.1% -0.0σ | -0.1% -0.2σ | +6.8% +1.1σ | +19.7% |
| Dividend yield | -0.5% -0.5σ | -1.1% -0.5σ | -6.9% -1.8σ | -0.7% |
| Value | -0.6% -0.7σ | -0.9% -0.5σ | -5.7% -1.9σ | +0.0% |
| Size | -0.4% -0.4σ | -1.4% -0.7σ | -6.3% -1.8σ | -3.6% |
Also
- Personal Income MoM 0.2% (0.4% expected)
- Goods Trade Balance -132.6B (-115B expected)
- Reported today: FDS beat (4.52 vs 4.35); JBL beat (4.4 vs 4.07); MU beat (33.42 vs 31.72)
- Memory & Storage basket +10.0% vs S&P over 20 sessions
- Commodity Producers basket -9.6% vs S&P over 20 sessions
- S&P 500, Nasdaq climb as soft inflation dampens Fed rate hike expectations — Reuters
- Two trades that just happened in 'Magnificent Seven' stocks point to big gains ahead — CNBC
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Oct 1
- Thursday: Initial Jobless Claims (Sep/26), consensus 200K.
- Thursday: Jobless Claims 4-Week Average (Sep/26), consensus 199K.
- Thursday: Continuing Jobless Claims (Sep/19), consensus 1730K.
- Reporting Thursday: ACN, NKE, MKC.
- Month-end factor rebalance at the September 30 close.
- September so far: High beta leads the quilt (+4.8%); 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.