Market snapshot
In brief
The story
The move. Consumer Cyclical beat the S&P by 2.3% on Monday, a z of +2.6 and the sector's best single session in a year, at the 99th percentile of the trailing year. The index closed at 7,691.39, up 0.42%, with the VIX down 7.8% to 18.44. Utilities went the other way, 2.3% behind the index (z -2.1, 1st percentile) on a day the 10-year yield rose 6bp to 5.15%.
The week. High beta finished the week 5.3% behind the S&P, a z of -2.0 and the 4th percentile of the trailing year. Dell fell 21%, Applied Materials 17%, AMD and Intel 9% each and Micron 8%; those five made up 31% of the shortfall, and Technology alone took 4.24pp off the book. The WSJ described Monday's open as futures rebounding after Friday's tech selloff. The index itself lost 1.5% on the week.
The month. Over 20 sessions Consumer Defensive leads the S&P by 8.7% (z +2.1, 95th percentile) and the AI Displacement Risk basket by 12.8%, with Accenture up 28%. Cybersecurity sits at the 1st percentile, 9.3% behind, as Akamai lost 26% and Gen Digital 19%. Breadth has widened: 44% of the index is above its 50-day average, from 31% a month ago. On 60 sessions of daily returns relative to the S&P, high beta and dividend yield read r=-0.85, little changed from 20 sessions earlier.
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 | -1.5% -1.0σ | -0.9% -0.7σ | +12.8% |
| Dividend yield | -1.2% -1.2σ | +3.5% +1.5σ | +2.1% +0.5σ | +3.0% |
| Size | -1.1% -1.2σ | +2.9% +1.5σ | +1.5% +0.5σ | -1.3% |
| Low volatility | -1.1% -1.1σ | +3.0% +1.4σ | +3.9% +1.2σ | -5.2% |
| Value | -1.2% -1.4σ | +2.2% +1.1σ | +1.0% +0.2σ | +3.2% |
| Quality | +0.2% +0.6σ | -0.8% -1.2σ | +0.1% -0.2σ | +4.8% |
| High beta | +1.0% +0.8σ | -5.3% -2.0σ | -6.7% -1.7σ | +11.2% |
| Momentum | +0.0% -0.0σ | -4.0% -2.1σ | -4.8% -1.6σ | +12.9% |
Also
- Reported today: FITB beat (1.13 vs 0.831); STLD missed (5.26 vs 5.48); WRB beat (1.17 vs 1.15)
- Memory & Storage basket -19.6% vs S&P over 20 sessions
- Optical Interconnect basket -15.2% vs S&P over 20 sessions
- Quality × Payments & Fintech: 60-session correlation of daily returns minus the S&P 500 is r=+0.03 (60 paired sessions), versus r=-0.28 (60 paired sessions) for the 60-session period ending 2026-09-21, 20 sessions earlier. Factors use long portfolios.
- FW 3000: High beta -6.5% (-1.9σ) on the week vs the broad benchmark
- Stock Market Today: Stock Futures Rebound After Friday's Tech Selloff — WSJ
- Oil Prices Fall as Traders Weigh Russia Sanctions Waiver, Middle East Risks — 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 20
- Tuesday: Housing Starts (Sep), consensus 1.31M.
- Tuesday: Building Permits (Sep), consensus 1.4M.
- Reporting Tuesday: GE, NFLX, RTX, ISRG and 14 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.