Market snapshot
In brief
The story
The move. High beta's long-short spread lost 13.1% against the S&P on the week, a z of -3.2 at the 0th percentile of the trailing year and the second-worst five-session run since January 2020. Technology took 5.93 points of it. Ciena, Coherent, Lumentum, Hewlett Packard Enterprise and Flex each fell 25% to 26% in the long leg, about a quarter point apiece and 9% of the move between them. Barron's reported chip equipment stocks notching historic losing streaks; momentum, in session three of its slide, lost 5.3% with Micron -15%, AMD -13%, Dell -23% and Lam Research -17%.
The other side. The same names sit in value's short leg, and the value spread gained 8.0% on the week, z +3.2 and its best five sessions in a year. Low volatility beat the index by 5.3%, dividend yield by 5.7% and Consumer Defensive by 7.3%, with Chevron, Coca-Cola, Mastercard, Visa and Procter & Gamble up 4% to 7%. Low volatility now leads the trailing-20-day tape, its first session on top, replacing quality.
The market. The S&P closed at 7,661.22, down 1.07% on the day and 1.9% on the week; the VIX rose 21.4% to 19.99 and the 10-year yield slipped a basis point to 5.09%. Breadth is still 46% above the 50-day average, up from 28% a month ago. On relative daily returns over 60 sessions, high beta and dividend yield long books run at r=-0.85, little changed from -0.84 twenty sessions earlier on overlapping windows. Travelers reported 9.18 against 7.39 expected; Fifth Third, Steel Dynamics and W.R. Berkley report Monday.
Who did it · 9% of the shortfall in these names
| Name | Leg | 5d | Contrib |
|---|---|---|---|
| CIEN Ciena Corporation | long | -26% | -0.26pp |
| COHR Coherent, Inc. | long | -26% | -0.26pp |
| LITE Lumentum Holdings Inc. | long | -25% | -0.25pp |
| HPE Hewlett Packard Enterprise | long | -25% | -0.25pp |
| FLEX Flex Ltd. | long | -25% | -0.24pp |
By sector: Technology cost 5.9pp; Financial Services cost 1.6pp; Industrials cost 1.6pp.
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 | -1.1% -1.5σ | -1.9% -1.3σ | +0.1% -0.4σ | +12.4% |
| Dividend yield | +2.1% +2.0σ | +5.7% +2.5σ | +1.5% +0.4σ | +4.3% |
| Low volatility | +2.1% +2.2σ | +5.3% +2.5σ | +3.1% +1.0σ | -4.1% |
| Size | +1.0% +1.1σ | +4.5% +2.3σ | +1.4% +0.5σ | -0.0% |
| Value | +1.5% +1.8σ | +4.3% +2.2σ | +0.3% +0.0σ | +4.5% |
| Quality | -0.5% -1.6σ | -0.8% -1.3σ | +0.8% +0.2σ | +5.1% |
| Momentum | -1.3% -1.3σ | -5.3% -2.7σ | -4.1% -1.4σ | +12.9% |
| High beta | -2.4% -1.9σ | -7.6% -2.9σ | -5.7% -1.5σ | +10.0% |
Also
- Reported today: CFG beat (1.41 vs 1.39); MTB beat (5.08 vs 4.93); RF beat (0.73 vs 0.662) +2
- Memory & Storage basket -23.0% vs S&P over 20 sessions
- Optical Interconnect basket -14.2% vs S&P over 20 sessions
- Low volatility takes the 20-day lead from Quality
- Quality × Crypto Financialization: 60-session correlation of daily returns minus the S&P 500 is r=+0.27 (60 paired sessions), versus r=-0.05 (60 paired sessions) for the 60-session period ending 2026-09-18, 20 sessions earlier. Factors use long portfolios.
- UK stocks set for weekly gains as investors seek shelter in defensive sectors — Reuters
- Stock Futures, Treasurys Steady as Markets Take Breather — WSJ
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Next session · Oct 19
- Reporting Monday: FITB, STLD, WRB.
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.