Market snapshot
In brief
The story
The move. Quality's long-short spread gained 3.6% against the S&P over 20 sessions, a z of +3.4, the 100th percentile of the trailing year and the best 20-session run in a year, on the second session of the move. The short leg did most of the work: Charter fell 30%, MGM Resorts 26%, Albemarle 24% and General Mills 22%, each adding 0.22 to 0.30pp, while Meta's 23% gain on the long leg added 0.22pp. Those five names account for 12% of the move; by sector, utilities contributed 0.84pp and communication services 0.58pp.
The laggard. Basic Materials finished the week 5.7% behind the S&P, a z of -2.5 and the sector's worst five-session run since January 2020. In the other direction, the AI Displacement Risk basket beat the index by 6.2% on the week, with Accenture up 20% and worth 3.39pp of it; Accenture reported EPS of 3.29 against 3.18 expected.
The books. The September 30 rebalance turned over seven factor books. Momentum churned 23%, dropping UNH, MS and C and adding TXN, AMGN, DE and COP among 23 names. Quality swapped 2%: AVGO and MCK in, EOG and PGR out. Size added FIS, which fell 20% over the same 20 sessions in which the Payments & Fintech basket lost 8.4% to the index.
The market. The S&P closed at 7,668.82, up 0.23% on the day and down 0.7% on the week, with the 10-year at 5.24% after a 5bp fall. Only 23% of the index sits above its 50-day average, from 48% a month ago; that 20-session change ranks in the 15th percentile of the record since January 2020.
Who did it · 12% of the gain in these names
| Name | Leg | 20d | Contrib |
|---|---|---|---|
| CHTR Charter Communications | short | -30% | +0.30pp |
| MGM MGM Resorts | short | -26% | +0.27pp |
| ALB Albemarle Corporation | short | -24% | +0.24pp |
| META Meta Platforms | long | +23% | +0.22pp |
| GIS General Mills | short | -22% | +0.22pp |
By sector: Utilities added 0.8pp; Communication Services added 0.6pp; Basic Materials added 0.5pp.
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 | +0.1% +0.1σ | -0.7% -0.6σ | -0.1% -0.4σ | +12.2% |
| Quality | +0.4% +1.0σ | +0.6% +0.6σ | +2.6% +1.5σ | +6.3% |
| Momentum | +0.8% +0.7σ | +1.2% +0.4σ | +6.5% +1.4σ | +21.3% |
| Size | +0.3% +0.4σ | +0.2% +0.1σ | -6.1% -1.7σ | -3.3% |
| High beta | +0.8% +0.6σ | +0.5% +0.1σ | +7.5% +1.3σ | +20.7% |
| Dividend yield | +0.2% +0.2σ | -0.3% -0.1σ | -6.6% -1.7σ | -0.4% |
| Low volatility | -0.1% -0.1σ | -0.6% -0.2σ | -5.0% -1.0σ | -9.5% |
| Value | +0.3% +0.4σ | -0.4% -0.2σ | -5.8% -1.9σ | +0.3% |
Rebalanced Sep 30: Momentum in TXN, AMGN, DE +20 · out UNH, MS, C +20 (23% turnover); 6 other books turned over — every book.
Also
- ISM Manufacturing PMI 54.5 (55 expected)
- Initial Jobless Claims 197K (200K expected)
- Reported today: ACN beat (3.29 vs 3.18); MKC beat (0.86 vs 0.755); NKE beat (0.48 vs 0.4365)
- Optical Interconnect basket +14.5% vs S&P over 20 sessions
- Memory & Storage basket +12.6% vs S&P over 20 sessions
- AI Stock Rally Checked by Relentless Treasury Selloff — WSJ
- Stock Market Today: Global Bond Selloff Deepens — WSJ
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Oct 2
- Friday: U-6 Unemployment Rate (Sep), consensus 7.7%.
- Friday: Nonfarm Payrolls Private (Sep), consensus 85K.
- Friday: Unemployment Rate (Sep), consensus 4.1%.
- October in the 30-year record: S&P +1.6% mean, positive 63% of the time; Quality averaged +0.4%.
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.