S&P 500 factor internals
as of 2026-07-02Size leads the 20-day tape (+6.9%) · sharpest move: Momentum -4.5σ on 5 days vs S&P · 68% 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.
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.
| Factor | 1 day | 5 days | 20 days | 60 days | YTD |
|---|---|---|---|---|---|
| Size | +1.4% (+1.6σ) | +1.8% (+1.0σ) | +7.8% (+2.7σ) | -0.4% (+0.5σ) | +2.4% |
| Low volatility | +2.2% (+2.4σ) | +1.5% (+0.9σ) | +7.5% (+2.4σ) | -8.3% (-0.5σ) | -2.5% |
| Dividend yield | +1.9% (+2.0σ) | +0.0% (+0.0σ) | +4.5% (+1.2σ) | -7.3% (-0.9σ) | +4.1% |
| Value | +1.1% (+1.4σ) | -0.1% (-0.1σ) | +7.5% (+2.2σ) | -2.8% (-0.8σ) | +3.9% |
| Quality | -0.9% (-2.6σ) | -0.7% (-1.1σ) | +2.0% (+1.3σ) | +4.5% (+2.4σ) | +5.2% |
| High beta | -3.7% (-3.6σ) | -5.7% (-2.9σ) | -3.8% (-1.5σ) | +18.3% (+1.4σ) | +20.1% |
| Momentum | -2.7% (-3.2σ) | -6.4% (-4.5σ) | -1.7% (-1.0σ) | +13.6% (+1.6σ) | +21.6% |
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 (17 sessions and counting), a series that cannot be bought or backfilled.
Latest (2026-07-03): 116 raised · 68 lowered of 476 covered — net breadth +10%.
| Session | Raised | Lowered | Covered | Net breadth |
|---|---|---|---|---|
| 2026-07-03 | 116 | 68 | 476 | +10% |
| 2026-07-02 | 104 | 58 | 475 | +10% |
| 2026-07-01 | 102 | 55 | 475 | +10% |
| 2026-06-30 | 117 | 60 | 474 | +12% |
| 2026-06-29 | 114 | 59 | 474 | +12% |
| 2026-06-26 | 105 | 54 | 478 | +11% |
| 2026-06-25 | 112 | 59 | 478 | +11% |
| 2026-06-24 | 111 | 62 | 479 | +10% |
| 2026-06-23 | 94 | 53 | 481 | +9% |
| 2026-06-22 | 111 | 58 | 476 | +11% |
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 | +24% | -4% | +29% |
| High beta | +21% | +5% | +16% |
| Low vol | +11% | +10% | +1% |
| Value | +10% | +13% | -4% |
| Quality | +10% | +6% | +3% |
| Size | +9% | +12% | -3% |
| Div yield | +7% | +7% | +0% |