Market snapshot
In brief
The story
The move. The dividend yield book beat the S&P by 4.3% on the day, a 4.1σ session and the second-best since 2020. Home Depot (+4%), Blackstone (+8%), Accenture (+8%), Verizon (+4%) and NextEra (+5%) supplied 26% of the move, with utilities adding 0.80pp. Low volatility beat the index by 3.3% (z +3.4) behind Procter & Gamble +6% and Johnson & Johnson +4%, size by 3.8% (z +4.4), and Consumer Defensive by 4.4%. Each of those is a top-three session for its series since 2020.
The spreads. High beta's long-short spread fell 6.5% against the S&P, a 3.2σ move and the third-worst since 2020; momentum's spread lost 5.1% (z -3.1). The same long-leg names drove both: Moderna -18%, Coherent -13%, Lam Research -12%, Lumentum -12%. Technology took 2.76pp off the high beta spread. The WSJ reported tech stocks fell on AI concerns. Value's spread, short those names, gained 4.4%. Low volatility and high beta books have run at r=-0.93 on 20-session relative returns.
The market. The S&P closed at 7,662.54, down 1.22% (z -1.6), and is off 1.0% on the week. VIX rose 14.1% to 19.03. The 10-year yield dropped 17bp to 4.96%, which MarketWatch tied to investors looking for safety with AI on trial. Initial jobless claims came in at 194K against 200K expected. Breadth is wider than the tape suggests: 61% of the index sits above its 50-day average, from 26% a month ago.
Who did it · 26% of the gain in these names
| Name | Weight | 1d | Contrib |
|---|---|---|---|
| HD Home Depot (The) | 5.0% | +4% | +0.27pp |
| BX Blackstone Inc. | 2.6% | +8% | +0.25pp |
| ACN Accenture | 2.3% | +8% | +0.20pp |
| VZ Verizon | 3.7% | +4% | +0.18pp |
| NEE NextEra Energy | 3.1% | +5% | +0.18pp |
By sector: Utilities added 0.8pp; Financial Services added 0.7pp; Consumer Defensive added 0.6pp.
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 | -1.2% -1.6σ | -1.0% -0.8σ | -0.4% -0.5σ | +12.5% |
| Size | +3.8% +4.4σ | +4.6% +2.3σ | +7.6% +2.2σ | +3.5% |
| Dividend yield | +4.3% +4.1σ | +5.3% +2.3σ | +7.8% +1.9σ | +7.7% |
| Low volatility | +3.3% +3.4σ | +4.5% +2.0σ | +7.6% +2.1σ | -1.9% |
| Value | +2.8% +3.2σ | +3.1% +1.5σ | +5.1% +1.4σ | +5.9% |
| Quality | -0.3% -0.9σ | -0.8% -1.2σ | -1.1% -1.0σ | +4.0% |
| Momentum | -2.1% -2.0σ | -2.8% -1.5σ | -7.3% -2.2σ | +11.1% |
| High beta | -3.8% -3.0σ | -4.5% -1.6σ | -10.4% -2.4σ | +8.0% |
Also
- Jobless Claims 4-Week Average 197.75K (200K expected)
- Initial Jobless Claims 194K (200K expected)
- Reported today: ALLE beat (2.6 vs 2.5); BE beat (0.94 vs 0.691); BX beat (1.32 vs 1.26) +10
- AI Displacement Risk basket +26.9% vs S&P over 20 sessions
- Memory & Storage basket -24.5% vs S&P over 20 sessions
- Tech Stocks Fall on AI Concerns — WSJ
- Dow's Profit Rises Sharply on Cost Cuts, Sales Growth — 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 23
- Reporting Friday: AXP, SLB.
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.