FW 3000 factor internals
as of 2026-07-28Low vol leads the 20-day tape (+6.1%) · sharpest move: Momentum -3.1σ on 5 days vs FW 3000 · 66% of the index above its 50-day.
The same engine over the FW 3000 — our Russell 3000-style universe of the largest 3,000 US common stocks, self-built with public rules and measured survivorship. Point-in-time quintile portfolios; every move z-scored against its own trailing history. Methodology is public.
How to read this page
Every number is compared to that series' own trailing year. σ (the z-score) counts standard deviations from its norm — |z| ≥ 2 is unusual, 3σ shows up a few times a year. The percentile ranks today against the past year of same-length moves (0th = worst, 100th = best). Where a series has 3+ years of history, tooltips add the era ruler: how the move ranks against everything since 2020. Green means ahead of the index, red behind. Full definitions: methodology.
Rotation
Leadership by trailing 20-day return across long-only factor portfolios. Flips require 3 days of persistence before flagging.
Charts
Computed portfolio series, rebased to 0% at the start of the selected window (z-score and breadth modes show raw values). Click legend entries to toggle series. Powered by TradingView Lightweight Charts.
Performance table
Factor, spread, and sector series, watchlist-style. Click a column to sort; toggle scope and value. σ is the move z-scored vs that series' own trailing year (computed horizons only — MTD/YTD are fixed windows and show no σ). The basket table lives on the Baskets page.
Factor spread monitor
z = current move vs the trailing year of same-horizon moves of the same series; the thin bar marks the percentile. |z| ≥ 2 is the headline flag. Sorted by the selected horizon. The books behind these series — every constituent, weight, and monthly add/drop — are on the Factors page.
| Factor | 1 day | 5 days | 20 days | 60 days | YTD |
|---|---|---|---|---|---|
| Low volatility | +1.0% (+1.2σ) | +4.4% (+2.7σ) | +6.4% (+2.4σ) | +3.2% (+1.4σ) | +0.4% |
| Dividend yield | +1.0% (+1.1σ) | +3.8% (+2.1σ) | +5.7% (+1.8σ) | +1.1% (+0.4σ) | +4.6% |
| Value | +1.5% (+1.9σ) | +3.7% (+2.1σ) | +6.2% (+1.8σ) | +8.5% (+2.0σ) | +12.4% |
| Size | +0.2% (+0.2σ) | +0.5% (+0.1σ) | -2.6% (-1.4σ) | +3.5% (+0.1σ) | +5.6% |
| Quality | -0.4% (-2.2σ) | -0.4% (-1.3σ) | -0.5% (-1.2σ) | +1.2% (+0.4σ) | +2.5% |
| High beta | -4.2% (-2.8σ) | -8.9% (-3.0σ) | -17.2% (-3.5σ) | -3.9% (-1.4σ) | +10.0% |
| Momentum | -4.1% (-3.0σ) | -7.5% (-3.1σ) | -15.6% (-3.8σ) | -0.5% (-0.7σ) | +19.5% |
Sector monitor
Cap-weighted GICS sectors vs benchmark across horizons, z-colored. Sorted by the selected horizon; hover or focus a cell for the percentile.
Factor correlation
Trailing correlation of the daily Q5−Q1 spread series. A block of deep blue means the factors are one crowded trade; red means they hedge each other.
Performance quilt
Monthly total returns of long-only factor portfolios, ranked best → worst, plus calendar YTD. Hover a cell to trace that factor across months. The outlined cell is the FW 3000.
Seasonality —
Estimate revisions
Are analysts raising or cutting numbers? Net revision breadth = share of FW 3000 constituents whose FY1 EPS consensus was raised minus lowered over the trailing 5 sessions (≥3 analysts covering, moves ≥0.1%). Computed from Factor Watch's own consensus archive — snapshotted daily since 2026-07-06 (17 sessions and counting), a series that cannot be bought or backfilled.
Latest (2026-07-28): 420 raised · 324 lowered of 1837 covered — net breadth +5%.
| Session | Raised | Lowered | Covered | Net breadth |
|---|---|---|---|---|
| 2026-07-28 | 420 | 324 | 1837 | +5% |
| 2026-07-27 | 401 | 309 | 1822 | +5% |
| 2026-07-24 | 327 | 285 | 1827 | +2% |
| 2026-07-23 | 316 | 289 | 1830 | +1% |
| 2026-07-22 | 354 | 309 | 1822 | +2% |
| 2026-07-21 | 342 | 300 | 1828 | +2% |
| 2026-07-20 | 379 | 327 | 1857 | +3% |
| 2026-07-17 | 383 | 339 | 1856 | +2% |
| 2026-07-16 | 417 | 342 | 1859 | +4% |
| 2026-07-15 | 412 | 313 | 1865 | +5% |
Who gets the upgrades — by factor quintile
Same breadth measured inside each factor's top and bottom quintile (membership as of the 2026-06-30 rebalance). A positive top-minus-bottom spread means the fundamental tape agrees with the factor.
| Factor | Top quintile | Bottom quintile | Top − bottom |
|---|---|---|---|
| Momentum | +14% | -10% | +24% |
| Quality | +12% | -4% | +16% |
| Low vol | +11% | +5% | +5% |
| High beta | +9% | +4% | +5% |
| Value | -3% | +10% | -13% |
| Div yield | -3% | +2% | -5% |
| Size | -4% | +16% | -20% |