Market snapshot
In brief
The story
The move. Quality's long-short spread is +2.7% against the S&P over 20 sessions, a z of +2.0 and the 94th percentile of the trailing year, in session 12 of the run. The named contributors account for only 16% of it: PTC +38% and Accenture +32% in the long leg, with Mosaic -27%, Intel -24% and Sandisk -24% in the short leg. By sector, Consumer Cyclical added 1.53pp and Financial Services 1.21pp. Inside the Quality book, Netflix fell 5.3% on the day after reporting EPS of 0.87 against 0.82 expected.
The baskets. Cybersecurity is -9.1% vs the S&P over 20 sessions, the 2nd percentile of the trailing year, with Akamai -24%, Palo Alto Networks -12% and CrowdStrike -9% covering 79% of the move. Optical Interconnect is -5.0% on the week on Coherent -10%, Lumentum -5% and Corning -4%. On the other side, Managed Care is +10.9% over 20 sessions, with Humana +14%, Cigna +13% and Centene +13%; the WSJ wrote that healthcare stocks are rallying and flashing a warning for the rest of the market. Energy is +7.0%, led by Marathon Petroleum +20%.
The pairs. Magnificent Seven and Regional Banks now sit at r=-0.37 on 60-session benchmark-relative daily returns, down 0.35 coefficient points from r=-0.01 in the window ending September 23; the two windows overlap. The 20-session reading is r=-0.56.
The market. The S&P closed at 7,757.85, +0.59%, with the VIX down 3.6% to 16.68 and the 10-year at 5.13%, +1bp. Breadth is 56% above the 50-day, from 29% a month ago, a 20-session change at the 87th percentile since 2020. Twenty-day realized vol is 8.8%, the 6th percentile of the trailing year.
Who did it · 16% of the gain in these names
| Name | Leg | 20d | Contrib |
|---|---|---|---|
| PTC PTC Inc. | long | +38% | +0.39pp |
| ACN Accenture | long | +32% | +0.32pp |
| MOS Mosaic Company (The) | short | -27% | +0.27pp |
| INTC Intel | short | -24% | +0.24pp |
| SNDK Sandisk Corporation | short | -24% | +0.24pp |
By sector: Consumer Cyclical added 1.5pp; Financial Services added 1.2pp; Industrials added 0.9pp.
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 | +0.6% +0.6σ | +0.5% +0.1σ | +0.7% -0.2σ | +13.8% |
| Size | -0.5% -0.5σ | +2.6% +1.3σ | +2.3% +0.7σ | -0.4% |
| Dividend yield | -1.1% -1.1σ | +1.7% +0.7σ | +2.8% +0.7σ | +3.1% |
| Low volatility | -0.7% -0.7σ | +1.3% +0.6σ | +4.0% +1.2σ | -5.1% |
| Value | -0.9% -1.0σ | +1.2% +0.5σ | +1.7% +0.4σ | +2.6% |
| Quality | +0.0% +0.0σ | -0.3% -0.6σ | -0.5% -0.6σ | +4.7% |
| High beta | +1.1% +0.8σ | -1.6% -0.6σ | -6.6% -1.6σ | +12.0% |
| Momentum | +0.5% +0.5σ | -1.8% -1.0σ | -5.0% -1.6σ | +13.5% |
Also
- Reported today: ABT met (1.42 vs 1.42); CCI missed (0.67 vs 0.687); CME beat (3.02 vs 2.99) +22
- Memory & Storage basket -21.4% vs S&P over 20 sessions
- AI Displacement Risk basket +16.1% vs S&P over 20 sessions
- Magnificent Seven × Regional Banks: 60-session correlation of daily returns minus the S&P 500 is r=-0.37 (60 paired sessions), versus r=-0.01 (60 paired sessions) for the 60-session period ending 2026-09-23, 20 sessions earlier. Factors use long portfolios.
- FW 3000: Quality -0.5% (-1.6σ) on the week vs the broad benchmark
- Nasdaq Futures Higher After Asian AI Rally — WSJ
- Canadian dollar holds near four-week high as investors stick to rate hike bets — Reuters
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Oct 22
- Thursday: Initial Jobless Claims (Oct/17), consensus 200K.
- Thursday: Continuing Jobless Claims (Oct/10), consensus 1720K.
- Thursday: Jobless Claims 4-Week Average (Oct/17), consensus 200K.
- Reporting Thursday: PG, UNP, WDC, BX and 24 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.