High beta leads the 20-day tape (+7.0%) · sharpest move: Value-0.7σ on 5 days vs S&P · 25% of the index above its 50-day.
How to read this page
How to read this page
Factor portfolios are built from the S&P 500 constituents, 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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Period
01Rotation
Trailing 20-day return of each long-only factor portfolio.
02Charts
Rebased to 0% at the start of the window; z-score and breadth modes show raw
values. Click a legend entry to toggle it.
03Performance table
Click a column to sort. Baskets have their own table on the
Baskets page.
04Factor spread monitor
σ vs the series' own trailing year; the thin bar is the percentile. Holdings are on
the Factors page.
Monthly returns ranked best to worst. Hover a factor to trace it; the outlined cell
is the S&P 500.
08Seasonality —
09Estimate revisions
Share of S&P 500 constituents whose consensus EPS was raised minus lowered over the trailing 5 sessions, from Factor Watch's own daily archive (since 2026-06-10). Windows from 1 to 60 sessions, revenue and FY2, the factor and sector cuts and the biggest revisions are on the Estimate revisions page.
Latest (2026-10-02): 68 raised · 60 lowered of 495 covered — net breadth +2%. (the 16th-percentile read of this series so far)