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as of 2026-09-11Value leads the 20-day tape (-1.1%) · sharpest move: Quality +1.3σ on 5 days vs FW 3000 · 39% of the index above its 50-day.
How to read this page
Factor portfolios are built from the FW 3000, our Russell 3000-style universe of the largest 3,000 US stocks built with public rules, point-in-time, not from ETFs. Every move is compared with that series' own trailing year: σ counts standard deviations from normal (|σ| ≥ 2 is unusual, 3σ happens a few times a year) and the percentile ranks it against the past year (0 = worst, 100 = best). Green is ahead of the index, red behind. Definitions: methodology.
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Rotation
Trailing 20-day return of each long-only factor portfolio.
Charts
Rebased to 0% at the start of the window; z-score and breadth modes show raw values. Click a legend entry to toggle it.
Performance table
Click a column to sort. Baskets have their own table on the Baskets page.
Factor spread monitor
σ vs the series' own trailing year; the thin bar is the percentile. Holdings are on the Factors page.
| Factor | 1d | 5d | 20d | 60d | MTD | YTD | 1y |
|---|---|---|---|---|---|---|---|
| Quality | +0.1% (+0.6σ) | +0.6% (+1.3σ) | -0.0% (-0.6σ) | +0.7% (-0.3σ) | +0.4% | +3.6% | +6.3% |
| Momentum | +0.4% (+0.2σ) | +3.0% (+0.9σ) | -2.1% (-0.7σ) | -9.0% (-1.6σ) | +2.0% | +24.3% | +21.2% |
| High beta | +0.7% (+0.3σ) | +3.1% (+0.7σ) | -1.2% (-0.5σ) | -9.2% (-1.6σ) | +2.1% | +17.6% | +20.0% |
| Low volatility | -0.4% (-0.4σ) | -0.2% (+0.0σ) | +0.4% (+0.4σ) | +0.7% (+0.7σ) | -0.2% | -5.1% | -8.8% |
| Dividend yield | -0.5% (-0.5σ) | -0.7% (-0.3σ) | -0.0% (+0.0σ) | +0.4% (+0.1σ) | -1.0% | -0.4% | -2.4% |
| Value | -0.3% (-0.5σ) | -0.7% (-0.5σ) | +0.7% (+-0.0σ) | +3.2% (+0.2σ) | +0.6% | +7.2% | +8.8% |
| Size | -0.5% (-0.6σ) | -1.3% (-1.0σ) | -1.3% (-0.9σ) | +1.7% (-0.5σ) | -1.3% | +3.5% | +9.5% |
Sector monitor
Cap-weighted GICS sectors vs the index. Hover a cell for the percentile.
Factor correlation
Trailing correlation of daily spread returns. Blue: move together. Negative: moved in opposite directions over this sample.
Performance quilt
Monthly returns ranked best to worst. Hover a factor to trace it; the outlined cell is the FW 3000.
Seasonality —
Estimate revisions
Share of FW 3000 constituents whose consensus EPS was raised minus lowered over the trailing 5 sessions, from Factor Watch's own daily archive (since 2026-07-06).
Latest (2026-09-11): 230 raised · 197 lowered of 1935 covered — net breadth +2%. (the 23rd-percentile read of this series so far)
| Session | Raised | Lowered | Covered | Net breadth |
|---|---|---|---|---|
| 2026-09-11 | 230 | 197 | 1935 | +2% |
| 2026-09-10 | 238 | 183 | 1931 | +3% |
| 2026-09-09 | 234 | 189 | 1935 | +2% |
| 2026-09-08 | 216 | 188 | 1933 | +1% |
| 2026-09-07 | 217 | 185 | 1922 | +2% |
| 2026-09-04 | 276 | 195 | 1916 | +4% |
| 2026-09-03 | 252 | 177 | 1924 | +4% |
| 2026-09-02 | 199 | 141 | 1925 | +3% |
| 2026-09-01 | 197 | 138 | 1926 | +3% |
| 2026-08-31 | 221 | 160 | 1924 | +3% |
Who gets the upgrades — by factor quintile
The same breadth inside each factor's top and bottom quintile. A positive top − bottom spread means analysts agree with the factor.
| Factor | Top quintile | Bottom quintile | Top − bottom |
|---|---|---|---|
| High beta | +5% | -2% | +7% |
| Momentum | +4% | +0% | +3% |
| Quality | +2% | +3% | -2% |
| Low vol | -0% | +3% | -3% |
| Value | -1% | +4% | -5% |
| Size | -2% | +4% | -6% |
| Div yield | -2% | +1% | -3% |