Market snapshot
In brief
The story
The move. Momentum beat the S&P by 6.3% over the past five sessions, a z of +2.6 and the best five-session run in the series since January 2020. Five names account for 54% of the move: AMD +45% on the week added 2.07pp, Micron +22% added 0.91pp, Lam Research +26% added 0.56pp, Applied Materials +19% and Intel +17% added 0.39pp apiece. Technology contributed 7.00pp of the total. The Wall Street Journal reported investors running back to AI stocks less than a week after a historic selloff.
The books. The same names ran through every book. High beta finished 7.8% ahead of the index (z +2.5), with Broadcom +25% and Tesla +16% alongside AMD. The AI Infrastructure Leaders basket gained 15.7% against the S&P, also its best five-session run in the series, and Optical Interconnect added 21.5%, with Coherent +37%, Ciena +27% and Lumentum +23% making up 86% of the move. Quality edged 1.5% ahead. On the short side, value's long-short spread fell 5.3% and size's fell 4.0%, both z -2.0, as AMD, Arista and Lam sat in their bottom quintiles.
The market. The S&P closed at 7,592.06, down 0.36% on the day but 3.4% higher on the week and still 1.9% lower over 20 sessions. The VIX rose 6.9% to 18.70 and the 10-year yield climbed 12bp to 5.10%. Breadth is 71% above the 50-day average, from 45% a month ago. Twenty-day realized vol is 22.0%, the top of its trailing-year range, and momentum's long book runs at 44.8%. October existing home sales fell 5.5% against a 0.3% rise expected; initial claims printed 200K versus 195K. Applied Materials reported EPS of 4.16 against 4.06 expected. Friday brings October PPI, consensus 0.4%.
Who did it · 54% of the gain in these names
| Name | Weight | 5d | Contrib |
|---|---|---|---|
| AMD Advanced Micro Devices | 5.0% | +45% | +2.07pp |
| MU Micron Technology | 5.0% | +22% | +0.91pp |
| LRCX Lam Research | 2.4% | +26% | +0.56pp |
| AMAT Applied Materials | 2.4% | +19% | +0.39pp |
| INTC Intel | 2.8% | +17% | +0.39pp |
By sector: Technology added 7.0pp; Industrials added 0.4pp; Energy added 0.1pp.
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 | +3.4% +1.8σ | -1.9% -0.9σ | +11.7% |
| Momentum | +0.2% +0.2σ | +6.3% +2.6σ | -4.9% -1.3σ | +8.5% |
| High beta | +0.2% +0.1σ | +7.8% +2.5σ | -4.7% -1.0σ | +7.2% |
| Quality | +0.0% +0.1σ | +1.5% +2.0σ | -0.0% -0.3σ | +5.1% |
| Low volatility | +0.1% +0.1σ | -2.5% -1.1σ | +8.0% +1.7σ | +1.2% |
| Value | -0.3% -0.4σ | -2.4% -1.3σ | +4.8% +1.1σ | +7.3% |
| Size | -0.8% -0.9σ | -3.0% -1.5σ | +7.6% +1.7σ | +5.7% |
| Dividend yield | -0.2% -0.3σ | -3.4% -1.6σ | +7.5% +1.4σ | +9.7% |
Also
- Existing Home Sales MoM -5.5% (0.3% expected)
- Existing Home Sales 3.75M (3.85M expected)
- Reported today: AMAT beat (4.16 vs 4.06); CSCO beat (1.4 vs 1.33)
- Memory & Storage basket -18.8% vs S&P over 20 sessions
- Optical Interconnect basket -14.4% vs S&P over 20 sessions
- Investors Run Back to AI Stocks, Less Than a Week After a Historic Selloff — WSJ
- Oil Prices Fall as Investors Weigh U.S.-Iran Diplomacy — WSJ
Breadth, leadership, revisions, realized vol and the baskets, every day: the dashboard. Explore correlations →. Headlines are quoted from their publishers for context.
Tomorrow · Nov 13
- Friday: Producer Price Index MoM (Oct), consensus 0.4%.
- Markets closed Thursday, November 26 (Thanksgiving).
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.