Market snapshot
In brief
The story
The move. The momentum long book has trailed the S&P by 10.7% over 60 sessions, a z of -2.0, the 1st percentile of the trailing year and the 9th-worst 60-session run since 2020. Five names account for 41% of it: Micron -28%, Intel -44%, Lam Research -35%, Caterpillar -34% and Sandisk -52%; Technology alone cost 8.6pp. Barron's calls it an AI stock selloff that overlooks earnings growth, and the revision tape fits: momentum's top quintile shows 43 FY1 EPS raises against 9 cuts, net +34%, versus net +6% in its bottom quintile, the widest gap on the board.
The books. Size's long-short spread is +8.4% vs the S&P over 60 sessions, its best run in a year, with Sandisk, Seagate -50%, Western Digital -46% and Intel all on the short leg. On the week, Consumer Cyclical is +4.5% vs the S&P (z +2.3) and the Retail basket +4.6%, led by Best Buy +11%, Lowe's +9% and Amazon +8%. Financial Services is +8.8% over 20 sessions. AI Infrastructure Leaders fell 6.3% vs the S&P on the week, with Nvidia, Dell and Vertiv each -18%, and Power & Grid Buildout lost 4.5%.
The market. The S&P closed at 7,521.26, -0.38%, and is -3.6% over 20 sessions. Core CPI printed 0.3% against 0.2% expected; the 10-year rose 10bp to 4.98%. VIX eased to 19.46 while 20-day realized vol sits at 21.8%, the 100th percentile of the year. Reuters reported oil fell as Trump downplayed escalation with Iran; the WSJ put it at $90. Breadth is 70% above the 50-day, from 39% a month ago.
Who did it · 41% of the shortfall in these names
| Name | Weight | 60d | Contrib |
|---|---|---|---|
| MU Micron Technology | 5.0% | -28% | -1.28pp |
| INTC Intel | 2.8% | -44% | -1.16pp |
| LRCX Lam Research | 2.4% | -35% | -0.79pp |
| CAT Caterpillar Inc. | 2.4% | -34% | -0.72pp |
| SNDK Sandisk Corporation | 1.4% | -52% | -0.67pp |
By sector: Technology cost 8.6pp; Industrials cost 0.7pp; Utilities 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 | -0.3% -0.4σ | -0.5% -0.4σ | -3.6% -1.4σ | +10.6% |
| Size | +0.2% +0.1σ | +2.5% +1.1σ | +12.4% +3.0σ | +7.8% |
| Low volatility | +0.8% +0.8σ | +2.6% +1.0σ | +11.2% +2.5σ | +2.2% |
| Value | +0.8% +0.8σ | +1.6% +0.6σ | +8.0% +1.9σ | +8.5% |
| Dividend yield | +0.8% +0.6σ | +1.5% +0.5σ | +11.5% +2.3σ | +12.0% |
| Quality | +0.2% +0.7σ | -0.0% -0.2σ | -0.7% -0.8σ | +4.4% |
| High beta | -0.2% -0.2σ | -2.4% -0.8σ | -10.4% -2.0σ | +4.6% |
| Momentum | +0.2% +0.1σ | -3.4% -1.5σ | -9.1% -2.3σ | +6.0% |
Also
- Core Inflation Rate MoM 0.3% (0.2% expected)
- Inflation Rate MoM 0.4% (0.3% expected)
- Memory & Storage basket -28.2% vs S&P over 20 sessions
- Optical Interconnect basket -27.7% vs S&P over 20 sessions
- GLP-1 Pressure × Housing Chain: 60-session correlation of daily returns minus the S&P 500 is r=+0.76 (60 paired sessions), versus r=+0.33 (60 paired sessions) for the 60-session period ending 2026-10-13, 20 sessions earlier. Factors use long portfolios.
- Stock Market Today: Oil Prices Fall to $90 a Barrel on Trump Iran Comments; Investors Await CPI Report — WSJ
- 'Markets bottom on bad news' maxim rings true as chip stocks rally amid Nvidia scandal — CNBC
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
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.