| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Oil | +0.41% | +0.55 | -1.08 | -1.41 | -0.73 | Theme | oil exposure outperforms |
| Semis | -0.86% | -0.94 | -1.70 | +0.20 | +0.51 | Theme | semis underperform |
| Size | +0.43% | +1.49 | -2.20 | -1.40 | +0.40 | Style | large names outperform |
| Value | -0.40% | -1.65 | +0.10 | +0.00 | +0.18 | Style | cheapest names lag |
| Dividend Yield | -0.35% | -1.67 | -2.56 | -1.13 | +0.26 | Style | lower yield outperforms |
| Leverage | -0.25% | -1.38 | -0.14 | +0.32 | +0.73 | Style | low leverage outperforms |
Start with the macro trigger: +1.11% on SPY and a hard volatility crush — VXX -2.80% on roughly 4× the typical ETF pace — as Bloomberg reported U.S.–Iran hostilities fading and dip-buyers lifting beaten-down tech. But the residual structure tells a different story than the headline: the Market factor's share of cross-sectional variance collapsed to 0.2% today versus a 10.2% one-year average, with idiosyncratic variance at 84% (vs a 69% norm). That is the proprietary edge here — low Market share means high dispersion, a stock-pickers' tape where the index level is a poor summary of what stocks are doing. The 3.9× pace on IWB and 2.0× on IWD is consistent with index-flow activity feeding that dispersion rather than a clean directional bid.
| Sector | Median Ret Pct |
|---|---|
| Materials | -1.56 |
| Utilities | -0.68 |
| Real Estate | -0.61 |
| Consumer Discretionary | -0.56 |
| Consumer Staples | -0.39 |
| Health Care | -0.15 |
| Energy | -0.10 |
| Industrials | -0.08 |
| Financials | -0.03 |
| Information Technology | 0.66 |
| Communication Services | 1.29 |
The cleanest tell of the dispersion regime is what the "good news" didn't do. South Korea confirmed a reported $1.3 trillion AI and semiconductor build-out led by Samsung and SK Hynix Bloomberg, including roughly $600bn of fab expansion Financial Times — and the Semis factor still printed -0.86% at z=-0.94, extending a 5-day z of -1.7. The pain was in the highest-exposure names: MU -7.40%, SNDK -7.11%, INTC -5.95%, ARM -5.65%, with the AI/semis/data-center cohort (SMH/SOXX proxies) weighted roughly -5.6% in the factor's high-exposure bucket. EWY itself fell -3.03% — the project's domestic beneficiaries sold the news. None of this dents the structural run: SMH is still +60.59% over 63 days, so today is continuation of a stalling-out, not a break.
| Bucket | Ret 1D Pct | Ret 5D Norm Pct | Ret 20D Norm Pct | Ret 63D Norm Pct |
|---|---|---|---|---|
| 1 | 0.75 | -0.22 | 0.14 | 2.68 |
| 2 | 0.27 | 0.57 | 0.56 | 2.55 |
| 3 | 0.27 | 0.64 | 0.33 | 2.08 |
| 4 | 0.49 | 0.23 | 0.39 | 1.75 |
| 5 | -0.09 | 0.84 | 0.08 | 1.58 |
| 6 | -0.04 | 1.12 | 0.97 | 1.91 |
| 7 | 0.13 | 0.22 | 0.14 | 1.55 |
| 8 | -0.05 | 0.60 | 0.07 | 1.09 |
| 9 | 0.10 | 1.10 | 1.17 | 1.25 |
| 10 | -0.09 | 1.45 | 0.69 | 0.34 |
| 11 | -0.17 | 0.83 | -0.52 | 0.04 |
| 12 | 0.76 | 1.54 | 0.17 | 0.91 |
| 13 | -0.32 | 1.33 | 0.47 | 1.70 |
| 14 | 0.08 | 0.93 | 0.70 | 1.38 |
| 15 | -0.23 | 0.87 | 0.21 | 1.54 |
| 16 | -0.80 | 0.69 | 0.96 | 1.81 |
| 17 | -0.57 | 0.38 | 0.48 | 1.37 |
| 18 | -0.66 | -0.06 | 0.25 | 1.72 |
| 19 | -0.55 | -1.08 | 0.17 | 2.20 |
| 20 | -0.56 | -2.36 | -0.82 | 3.87 |
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| IGV | software | +2.68% | +4.06% | -1.00% | -7.82% | +10.60% |
| XLY | consumer disc. | +2.43% | +0.90% | -2.38% | -6.30% | +5.09% |
| KWEB | china | +1.98% | +1.31% | -5.15% | -10.20% | -15.11% |
| SMH | semiconductors | -0.35% | -3.97% | -7.32% | +1.96% | +60.59% |
| GDX | gold | -1.74% | +1.76% | -6.68% | -11.68% | -6.54% |
| VXX | volatility | -2.80% | +1.33% | +3.33% | -4.07% | -35.66% |
| EWY | south korea | -3.03% | -3.77% | -10.00% | -4.42% | +64.41% |
The dip-buying that lifted the index was concentrated, not broad. Size flipped to z=+1.49 — large names outperforming — a sharp reversal of last week's small-cap lead (5-day z of -2.2). AMZN drove it with a +5.07% gain (+$130bn in cap) after AWS raised reserved GPU rates 20% on the back of record Prime Day spend The Wall Street Journal, alongside GOOGL +3.59% on its first day as a Dow component. Beneath the mega-caps the bid thinned out fast: IWM fell -0.91% and IJR -0.51%, so this is a top-of-the-cap-stack rally, not a risk-on broadening.
| Bucket | Ret 1D Pct | Ret 5D Norm Pct | Ret 20D Norm Pct | Ret 63D Norm Pct |
|---|---|---|---|---|
| 1 | 0.17 | -0.98 | -0.51 | 2.23 |
| 2 | -0.45 | 0.33 | 0.22 | 2.21 |
| 3 | -0.35 | 0.45 | 0.63 | 2.47 |
| 4 | -0.48 | 0.79 | 0.68 | 2.21 |
| 5 | -0.21 | 0.89 | 0.80 | 1.82 |
| 6 | -0.33 | 1.55 | 0.96 | 2.26 |
| 7 | -0.30 | 1.25 | 0.99 | 1.90 |
| 8 | -0.25 | 0.94 | 0.50 | 1.43 |
| 9 | -0.23 | 1.14 | 0.70 | 1.56 |
| 10 | -0.19 | 0.28 | 0.02 | 1.31 |
| 11 | -0.11 | 0.73 | 0.21 | 1.51 |
| 12 | -0.19 | 0.81 | 0.32 | 2.03 |
| 13 | 0.19 | 0.62 | 0.47 | 1.09 |
| 14 | 0.09 | 0.08 | -0.01 | 1.18 |
| 15 | 0.13 | 0.38 | 0.10 | 1.33 |
| 16 | 0.24 | 0.50 | 0.05 | 0.92 |
| 17 | 0.27 | 0.20 | 0.08 | 1.35 |
| 18 | -0.08 | 0.02 | 0.25 | 1.57 |
| 19 | 0.47 | 0.32 | -0.12 | 0.75 |
| 20 | 0.34 | -0.68 | 0.30 | 2.19 |
The single-name catalysts are the session. Verizon fell -6.89% — the day's clearest idiosyncratic shock — as it exited the Dow with Alphabet taking its seat, the Motley Fool noting its $45.68 share price had shrunk to just 0.5% of the price-weighted index Motley Fool. With a 2.27 Dividend Yield loading, VZ's drop is the visible hand behind the Dividend Yield factor at z=-1.67 (lower yield outperforms) — a factor print that is really one name, the essence of an idiosyncratic tape. Comcast jumped 9% on the tax-free spin-off of NBCUniversal and Sky NYT. The Leverage factor (z=-1.38, low leverage outperforms) leaned on the rate-sensitive high-leverage cohort, with REITs soft across the board — IYR -0.80%, VNQ -0.83%, XLRE -0.99%.
Oil posted the highest conditional importance of any factor (0.119) at a modest +0.41%, z=+0.55 — right-tail driven, with E&P names (XOP +1.07%, USO +1.36%) firming on dip-buying and LNG deal flow rather than a war premium, which the ceasefire is unwinding. A softer dollar helped at the margin — DXY -0.18% to 101.17 CNBC — though it wasn't enough for the metals: GLD -1.13%, SLV -1.37%, GDX -1.74%. Rates were a non-event: the 10-Year held at 4.38% (+0.6 bps) with the 2-Year at 4.11% (+2.1 bps) and the long end fractionally lower CNBC — there was no rate impulse behind the dividend-yield or leverage moves, reinforcing that those were stock-specific, not duration-driven.
The Dallas Fed Manufacturing Survey, released at 10:30 AM ET, showed the General Business Activity Index at 0.4 — unchanged from May and short of the 2.0 consensus, a second straight month of near-zero Texas factory growth. With the ceasefire and Thursday's payrolls in focus, equity futures held their gains through the print, and the regional miss left no mark on a tape already running on single-name flow.
Variance decomposition: live intraday — 20260629 session, bracketed against its trailing-year range. Factor returns are trailing through last close.
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style | |||||
| Dividend Yield | -0.35% z-1.9 | -0.37% | -0.60% | -0.63% | +1.13% |
| Value | -0.40% z-1.5 | -0.38% | +0.24% | +0.37% | +1.19% |
| One-Day Momentum | +0.40% z+1.3 | -0.59% | -0.12% | +1.57% | +3.56% |
| Leverage | -0.25% z-1.3 | -0.24% | +0.12% | +0.36% | +1.45% |
| Size | +0.43% z+1.1 | -0.76% | -1.95% | -2.11% | +0.38% |
| Short-Sale Activity | -0.14% z-1.1 | +0.05% | -0.22% | -0.78% | -3.85% |
| Short Interest | +0.20% z+1.0 | +0.26% | +1.06% | +1.69% | +2.04% |
| Growth | +0.23% z+1.0 | +0.10% | +0.46% | +1.25% | +1.95% |
| Morning Activity | +0.15% z+0.9 | +0.06% | -0.23% | -1.21% | -2.74% |
| Profitability | -0.16% z-0.8 | -0.39% | -0.51% | +0.37% | -0.10% |
| Medium-Term Momentum | -0.20% z-0.7 | +0.13% | +1.38% | +2.78% | +4.58% |
| Residual Volatility | +0.32% z+0.7 | +0.72% | -1.21% | -4.52% | -0.70% |
| Long-Term Momentum | -0.41% z-0.6 | -1.66% | +0.10% | +1.26% | +7.51% |
| Short-Term Momentum | -0.17% z-0.5 | +0.19% | +0.79% | -0.99% | -1.30% |
| Liquidity | -0.09% z-0.3 | +0.39% | -1.13% | -2.08% | +1.17% |
| Beta | -0.28% z-0.3 | -1.78% | -4.05% | -0.99% | +14.91% |
| Hedge-Fund Ownership | +0.03% z+0.2 | +0.30% | +0.61% | +0.46% | -0.85% |
| Thematic | |||||
| Semiconductors | -0.86% z-1.5 | -1.98% | -1.34% | +0.50% | +5.48% |
| Oil | +0.41% z+0.8 | -0.14% | -2.06% | -4.99% | -3.70% |
| Bitcoin / Crypto | -0.16% z-0.5 | +0.26% | -0.56% | -0.45% | -1.16% |
| China | -0.22% z-0.5 | +0.17% | -0.90% | -3.81% | -6.87% |
| Treasury (Duration) | -0.15% z-0.4 | +0.15% | +0.79% | +0.31% | -1.90% |
| Gold | +0.08% z+0.2 | +0.21% | -1.31% | -3.02% | -6.89% |
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.