Market snapshot
In brief
The story
The move. Momentum's long-short spread fell 3.3% against the S&P on Thursday, a 2σ session at the 4th percentile of the trailing year, while the size book gained 1.8% (z +2.1). The same names sit on both sides: International Paper, Equifax and Fair Isaac each rose about 7%, all in momentum's bottom quintile and all in the size book. Technology cost the momentum spread 1.54pp, with Hewlett Packard Enterprise down 7% in the long leg. The five named contributors explain only 8% of the momentum move, so the day was broad rather than concentrated.
The books. Quality's spread is up 4.2% versus the S&P over 20 sessions, z +3.2 and the top of its trailing-year range, in session 12 of the run. PTC, up 44% in the long leg, contributed 0.44pp; Mosaic, Alexandria Real Estate and MGM Resorts, each down 23% to 25% in the short leg, added roughly a quarter point apiece. Quality has led the 20-day tape for two sessions, taking over from high beta.
The week. Healthcare is 5.5% ahead of the S&P on the week. The managed care basket is up 8.4% (Humana +12%, UnitedHealth +10%, Centene +9%) and hospitals 5.3% (DaVita and Universal Health Services +7%). MarketWatch reported big pharma near all-time highs as the tech selloff pushed investors toward safer bets. Memory and storage is 13.2% behind over 20 sessions, with Western Digital down 16%.
The market. The S&P closed at 7,744, up 0.33%, with the 10-year yield down 9bp to 5.10%; the WSJ tied the gain to Treasury yields giving back recent gains. VIX fell to 16.46. September PPI printed 1.3% against 0.5% expected. Breadth improved: 45% of the index is above its 50-day average, from 31% a month ago.
Who did it · 8% of the shortfall in these names
| Name | Leg | 1d | Contrib |
|---|---|---|---|
| EFX Equifax | short | +7% | -0.07pp |
| RDDT Reddit, Inc. | short | +7% | -0.07pp |
| HPE Hewlett Packard Enterprise | long | -7% | -0.07pp |
| FICO Fair Isaac | short | +7% | -0.07pp |
| IP International Paper | short | +7% | -0.07pp |
By sector: Technology cost 1.5pp; Consumer Cyclical cost 0.7pp; Industrials cost 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 | +0.4% +0.4σ | -0.2% -0.3σ | +1.4% +0.0σ | +13.6% |
| Size | +1.8% +2.1σ | +2.9% +1.5σ | -0.8% -0.1σ | -0.9% |
| Low volatility | +0.2% +0.2σ | +3.1% +1.5σ | +0.4% +0.3σ | -6.1% |
| Dividend yield | +0.8% +0.8σ | +2.4% +1.0σ | -1.6% -0.4σ | +2.2% |
| Value | +0.8% +0.8σ | +1.6% +0.8σ | -2.0% -0.7σ | +2.9% |
| Quality | +0.2% +0.5σ | -0.3% -0.6σ | +1.5% +0.7σ | +5.6% |
| High beta | -0.9% -0.8σ | -5.1% -2.0σ | -2.5% -0.8σ | +12.7% |
| Momentum | -1.1% -1.1σ | -3.9% -2.1σ | -2.1% -0.9σ | +14.3% |
Also
- NY Empire State Manufacturing Index 25.5 (10.3 expected)
- Producer Price Index MoM 1.3% (0.5% expected)
- Reported today: BNY beat (2.37 vs 2.27); IBKR beat (0.67 vs 0.668); JBHT beat (1.82 vs 1.81) +5
- Memory & Storage basket -13.2% vs S&P over 20 sessions
- AI Displacement Risk basket +7.1% vs S&P over 20 sessions
- Stocks Gain as Treasury Yields Give Back Some Recent Gains — WSJ
- Nasdaq Futures Slide as Global AI Selloff Gathers Pace — 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 16
- Reporting Friday: TRV, TFC, MTB, CFG and 1 more.
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.