S&P 500 factor internals
as of 2026-08-11Size leads the 20-day tape (+5.5%) · sharpest move: Momentum -1.0σ on 5 days vs S&P · 64% of the index above its 50-day.
Point-in-time quintile portfolios computed from the constituents — not ETF proxies; 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, across the standard horizons plus a custom N-session window. Click a column to sort; toggle scope and value. σ is the move z-scored vs that series' own trailing year (fixed-length windows only — MTD/YTD 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 | 1d | 5d | 20d | 60d | MTD | YTD | 1y |
|---|---|---|---|---|---|---|---|
| Value | +0.5% (+0.5σ) | +0.8% (+0.3σ) | +2.2% (+0.4σ) | +9.3% (+2.0σ) | -1.2% | +5.6% | +11.5% |
| Dividend yield | +0.7% (+0.7σ) | +0.3% (+0.1σ) | +2.3% (+0.5σ) | +4.0% (+0.6σ) | -2.1% | +5.0% | +2.2% |
| Low volatility | +0.2% (+0.2σ) | -0.0% (+0.1σ) | -0.7% (+0.0σ) | +1.5% (+0.8σ) | -3.1% | -5.3% | -13.4% |
| Size | +0.4% (+0.5σ) | -0.4% (-0.2σ) | +2.9% (+0.9σ) | +10.8% (+2.5σ) | -0.5% | +2.6% | +1.1% |
| Quality | +0.1% (+0.3σ) | -0.3% (-0.4σ) | -1.4% (-1.1σ) | +4.1% (+1.6σ) | +0.4% | +3.7% | +2.6% |
| High beta | +0.5% (+0.3σ) | -1.2% (-0.6σ) | -5.0% (-1.4σ) | -1.3% (-1.0σ) | +2.3% | +14.6% | +18.3% |
| Momentum | +0.2% (+0.1σ) | -1.6% (-1.0σ) | -5.9% (-1.9σ) | -2.3% (-0.9σ) | -0.4% | +14.8% | +12.5% |
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 S&P 500.
Seasonality —
Estimate revisions
Are analysts raising or cutting numbers? Net revision breadth = share of S&P 500 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 2026-06-10 (43 sessions and counting), a series that cannot be bought or backfilled.
Latest (2026-08-11): 87 raised · 33 lowered of 482 covered — net breadth +11%.
| Session | Raised | Lowered | Covered | Net breadth |
|---|---|---|---|---|
| 2026-08-11 | 87 | 33 | 482 | +11% |
| 2026-08-10 | 154 | 72 | 483 | +17% |
| 2026-08-07 | 179 | 96 | 482 | +17% |
| 2026-08-06 | 150 | 89 | 482 | +13% |
| 2026-08-05 | 170 | 96 | 478 | +15% |
| 2026-08-04 | 174 | 97 | 478 | +16% |
| 2026-07-31 | 193 | 108 | 478 | +18% |
| 2026-07-30 | 183 | 105 | 477 | +16% |
| 2026-07-29 | 173 | 106 | 477 | +14% |
| 2026-07-28 | 166 | 100 | 475 | +14% |
Who gets the upgrades — by factor quintile
Same breadth measured inside each factor's top and bottom quintile (membership as of the 2026-07-31 rebalance). A positive top-minus-bottom spread means the fundamental tape agrees with the factor.
| Factor | Top quintile | Bottom quintile | Top − bottom |
|---|---|---|---|
| Size | +16% | +11% | +5% |
| High beta | +16% | +1% | +15% |
| Value | +15% | +17% | -2% |
| Quality | +14% | +8% | +6% |
| Momentum | +14% | +7% | +7% |
| Div yield | +8% | +15% | -7% |
| Low vol | +6% | +12% | -5% |