| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Beta | -0.89% | -0.73 | -1.53 | -0.04 | 1.08 | Style | defensive names outperform |
| Retail+International | -0.19% | -0.97 | -3.31 | -1.77 | -0.77 | Style | retail and international names underperform |
| Residual Volatility | -0.35% | -0.64 | -3.16 | -0.34 | 0.49 | Style | low volatility outperforms |
| Gold | -0.29% | -0.49 | -1.25 | -1.97 | -0.89 | Theme | gold exposure underperforms |
The selloff is concentrated in momentum and beta trades. The Beta factor declined (z=-0.73), led by the highest-beta names, which fell -2.70%. The AI and semiconductor theme within this cohort dropped -3.73%. Super Micro Computer (SMCI) declined -10.41% as portfolio managers offloaded hardware exposure and momentum z-scores compressedEconomic Times.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | 0.14 |
| 2 | -0.06 |
| 3 | -0.28 |
| 4 | -0.12 |
| 5 | -0.38 |
| 6 | -0.25 |
| 7 | -0.45 |
| 8 | -0.41 |
| 9 | -0.38 |
| 10 | -0.65 |
| 11 | -0.48 |
| 12 | -0.80 |
| 13 | -1.07 |
| 14 | -1.35 |
| 15 | -1.49 |
| 16 | -1.65 |
| 17 | -2.07 |
| 18 | -2.27 |
| 19 | -2.25 |
| 20 | -2.69 |
The global epicenter of this unwind is South Korea. The Kospi index fell nearly 4% as the AI trade reversed following reports of Iranian strikes on U.S. airbases, as the Economic Times reported. Institutional hedging on the Kospi 200 increased to levels historically preceding market drawdownsBloomberg. This positioning is reflected in the iShares MSCI South Korea ETF (EWY), which declined -1.29% today, extending its 5-day return to -14.21%.
The Residual Volatility factor extended its multi-week regime of underperformance for high-volatility equities, falling sharply (5d z=-3.16). The Retail+International factor also experienced a significant drawdown (5d z=-3.31) as discretionary risk was cleared. ETF flows reflect this rotation: high-beta growth vehicles including SMH and IGV declined over -2.00%, while the VIX short-term futures ETF (VXX) rose +2.58% and consumer staples (XLP) remained insulated.
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| VXX | volatility | +2.58% | +1.66% | +3.28% | -11.59% | -25.33% |
| XLP | consumer staples | +0.42% | +1.24% | +2.77% | +0.88% | -1.89% |
| EWY | south korea | -1.29% | -0.86% | -14.21% | -4.56% | +41.25% |
| SLV | silver | -1.36% | -4.17% | -13.21% | -24.35% | -26.32% |
| ARKK | innovation growth | -1.93% | -1.16% | -6.14% | -6.29% | +2.89% |
| IGV | software | -2.10% | -2.82% | -11.25% | +2.49% | +8.52% |
| SMH | semiconductors | -2.17% | -1.20% | -6.52% | +2.55% | +48.75% |
| GDX | gold | -3.20% | -1.37% | -11.88% | -20.50% | -24.94% |
The geopolitical strikes did not generate a safe-haven bid for precious metals; instead, they triggered liquidations as investors raised cash ahead of Wednesday's May CPI reportEconomic Times. The Gold factor declined (z=-0.49), and selling extended across physical and equity vehicles. The VanEck Gold Miners ETF (GDX) fell -3.20%, and the iShares Silver Trust (SLV) lost -1.36%, bringing its 20-day return to -24.35%.
This commodity liquidation occurred against a backdrop of resilient real rates. The 10-Year Treasury yield sits at 4.526%CNBC and the 2-Year holds at 4.129%CNBC as traders price in elevated interest rates. The US Dollar Index (DXY) remained steady at 99.906CNBC.
| Sym | Theme | Ret Today Pct | Vol Pace |
|---|---|---|---|
| GDX | currency | -3.13 | 0.17 |
| SMH | technology | -2.09 | 0.07 |
| GLD | currency | -2.04 | 0.32 |
| ARKK | retail + growth | -1.93 | 0.01 |
| IGV | cyclical | -1.76 | 0.05 |
| XLK | growth | -1.68 | 0.05 |
| SLV | currency | -1.49 | 0.40 |
| EWY | international | -1.31 | 0.26 |
| QQQ | growth | -0.98 | 0.26 |
| IWM | size | -0.67 | 0.08 |
| SPY | size | -0.63 | 0.09 |
| USO | energy + cyclical | -0.51 | 0.23 |
| XOP | energy + cyclical | -0.37 | 0.05 |
| XLI | cyclical | 0.03 | 0.00 |
| FXI | international | 0.16 | 0.03 |
| KWEB | international | 0.34 | 0.04 |
| XLP | defensive | 0.43 | 0.01 |
| VXX | uncertainty | 2.37 | 0.13 |
Despite the broader index pressure, idiosyncratic catalysts are driving price action. Credicorp (BAP) rose +9.3% on elevated volume (9.26× the typical pace) after Fitch Ratings upgraded the bank to BBB+, citing record profitability and unwinding a political risk premium tied to Peru's electionsfitchratings.com. In the retail sector, Casey's General Stores (CASY) gained +2.22% after reporting a Q4 earnings beat that outperformed consensus by 30% and included a dividend hikeBusiness Wire.
Conversely, Oracle (ORCL) declined -2.58% ahead of its earnings release; portfolio managers require tangible AI monetization to justify current multiples amid a rotation out of softwareBloomberg. The software sector broadly reflected these expectations, with the IGV ETF down -2.10% on the session.
The Consumer Price Indexthe BLS is scheduled for 8:30 AM ET; consensus forecasts suggest inflation remains elevated, maintaining pressure on the Federal Reserve to hold interest ratesMorningstar. Global wholesale inflation is accelerating, with China's PPIthe BLS reaching a near four-year high on rising energy costs. These pressures set the stage for volatility in duration-sensitive factors as markets finalize their de-risking rotations.
Data compiled by FactorPulse AI; edited and verified by Jeff Klein. For informational purposes only. Does not constitute financial advice, an investment recommendation, or an offer to buy or sell any securities. Always consult a qualified financial professional before making investment decisions.
For more on factor construction methodology, see www.factorpulse.com/glossary.