| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Short-Term Momentum | -0.49% | -1.33 | +0.75 | -0.80 | -0.64 | Style-Momentum | Recent winners gave back vs laggards |
| Liquidity | -0.49% | -1.37 | -1.66 | -1.62 | +0.10 | Style | Lowest-turnover names outperformed |
| Growth | +0.25% | +1.09 | +1.43 | +0.90 | +1.29 | Style | High-growth names outperformed |
| Semiconductors | +0.84% | +0.92 | +0.07 | +0.96 | +0.95 | Thematic | High-exposure names outperformed |
| Size | +0.23% | +0.78 | -0.71 | -1.04 | +0.55 | Style | Larger-cap names outperformed |
The quarter's defining trade is closing the way it ran: +0.84% on the Semis factor today, right-tail driven, with the top exposure bucket up +1.70%. The catalyst is the calendar — chip stocks just logged their best quarter on record, with the Philadelphia Semiconductor Index up roughly 81% in Q2 on AI-infrastructure demand.Bloomberg What is distinctive in today's tape is the cohort doing the carrying. The high-beta, secondary and foundry names lead — INTC +6.23% (a $42.3bn cap gain), AMD +5.71%, AMAT +5.47%, and ALAB +8.23% — while the mega-cap leadership lags, NVDA +1.64% and TSM +2.91%. That is the down-cap rotation the desk has flagged all quarter: capital moving down the market-cap spectrum to capture higher-beta AI supply-chain exposure as the giants consolidate.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | -0.42 |
| 2 | -0.18 |
| 3 | -0.44 |
| 4 | 0.02 |
| 5 | -0.11 |
| 6 | -0.12 |
| 7 | -0.04 |
| 8 | -0.48 |
| 9 | -0.04 |
| 10 | -0.28 |
| 11 | -0.02 |
| 12 | -0.30 |
| 13 | -0.09 |
| 14 | 0.16 |
| 15 | -0.15 |
| 16 | 0.19 |
| 17 | 0.47 |
| 18 | 0.50 |
| 19 | 0.88 |
| 20 | 1.70 |
The corroboration in the ETF tape is clean but reveals the catch: SMH +2.99% and XLK +2.05% are a one-day bounce against a soft week — SMH is still down -5.52% over five sessions even as it holds a +68.87% 63-day run. This is a recovery within an extended, occasionally violent uptrend, not a fresh breakout.
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| SMH | semiconductors | +2.99% | +3.33% | -5.52% | +5.52% | +68.87% |
| XLK | technology | +2.05% | +2.37% | -3.51% | -2.94% | +42.71% |
| MTUM | momentum | +1.69% | +3.15% | -2.67% | +6.39% | +42.52% |
| XLRE | real estate | -1.44% | -0.71% | +2.04% | +2.11% | +12.27% |
| XLV | healthcare | -1.00% | +0.25% | +7.12% | +7.54% | +12.20% |
| USO | oil | -0.85% | +1.52% | -4.98% | -17.05% | -13.78% |
| BITO | crypto | -3.02% | +0.86% | -6.51% | -18.26% | -9.70% |
The proprietary read is in the variance mix. Market explains just 0.5% of today's cross-sectional variance — against a 10.2% one-year norm and 1.9% yesterday — while idiosyncratic risk runs at 77%. That inversion is a high-dispersion, stock-pickers' day: correlation has collapsed, names are moving on their own catalysts, and SPY is up only +0.60% despite the headline chip strength. It is exactly what a quarter-end pension rebalance off the S&P's best quarter since 2020 looks like in the factor structure.Bloomberg
Short-Term Momentum confirms the rebalance signature: it is the single most load-bearing factor in the cross-section today (conditional importance 0.22) at z=-1.33, with the bottom exposure bucket up +0.30%. The recent multi-day winners gave back relative to the recent laggards — a mild, statistically soft reversal consistent with quarter-end profit-taking rather than any directional turn in the tape. Pair it with Liquidity at z=-1.37 (in the top decile of the variance it normally explains, and persistently so — z_20d=-1.62), where the lowest-turnover names outperformed the most heavily-traded ones, and the picture is consistent: this is flow-and-rebalance machinery, not a fundamental repricing.
One trend that is genuinely structural rather than calendar-driven: Growth. At z=+1.09 today, it sits on a multi-week run (z_5d=+1.43, z_63d=+1.29), and the highest-growth names have outperformed with 0.95 sign-consistency across the 1d/5d/20d/63d horizons — a durable tilt, not a one-session quirk.
| Bucket | Ret 1D Pct | Ret 5D Norm Pct | Ret 20D Norm Pct | Ret 63D Norm Pct |
|---|---|---|---|---|
| 1 | -0.24 | -0.14 | -1.00 | 2.94 |
| 2 | 0.12 | 0.30 | 0.76 | 2.86 |
| 3 | -0.29 | -0.26 | -0.05 | 1.81 |
| 4 | -0.10 | 0.79 | 0.26 | 1.94 |
| 5 | 0.12 | 0.17 | -0.18 | 1.94 |
| 6 | 0.02 | 0.21 | -0.06 | 1.45 |
| 7 | -0.01 | 0.68 | 0.23 | 1.46 |
| 8 | -0.14 | 0.45 | 0.23 | 1.61 |
| 9 | -0.04 | 0.90 | 0.80 | 1.79 |
| 10 | -0.37 | 1.02 | 0.52 | 1.23 |
| 11 | 0.04 | 1.31 | 0.94 | 1.45 |
| 12 | 0.17 | 0.78 | 0.40 | 1.54 |
| 13 | 0.49 | 1.38 | 0.79 | 1.66 |
| 14 | -0.00 | 1.35 | 0.69 | 1.58 |
| 15 | -0.15 | 1.05 | 1.16 | 2.03 |
| 16 | 0.09 | 0.64 | 0.74 | 1.76 |
| 17 | 0.15 | 1.13 | 0.35 | 2.04 |
| 18 | -0.23 | 0.94 | 0.54 | 2.27 |
| 19 | 0.96 | 0.94 | 0.49 | 2.40 |
| 20 | 0.65 | 0.81 | 1.08 | 3.04 |
The rate-sensitive and defensive complex flashes a different signal, and it is where the dissent to the risk-on read lives. Real estate is the worst-performing sector — XLRE -1.44% on 2.3× its typical pace, IYR -1.19% — led lower by data-center REITs, with DLR -5.07% as it agreed to buy a data-center stake from Blackstone for $3.5bn and EQIX -3.16%.Bloomberg Healthcare gave back part of its big week — XLV -1.00% after a +7.12% five-day run — with LLY off -2.90% as the FDA reviews generic tirzepatide filings from Sandoz.HEALTH The pressure tracks rates: the 10-Year is at 4.40%, up 2.6bps, with the 2-Year at 4.13% and the 30-Year at 4.89%, a modest across-the-curve lift.CNBC
| Sector | Median Ret Pct |
|---|---|
| Consumer Staples | -1.02 |
| Communication Services | -0.90 |
| Real Estate | -0.68 |
| Utilities | -0.40 |
| Health Care | -0.34 |
| Consumer Discretionary | -0.31 |
| Materials | -0.02 |
| Financials | 0.03 |
| Industrials | 0.26 |
| Information Technology | 0.44 |
| Energy | 0.48 |
Elsewhere the idiosyncratic stories dominate, as the dispersion regime predicts. AVAV jumped +14.73% intraday on a fourth-quarter earnings beat and a record $1.2bn funded backlog, lending the defense complex a bid (XAR +1.44%).Bloomberg Crypto stays heavy with BITO -3.02% as Bitcoin holds below $60,000.Economic Times Precious metals staged an intraday recovery — SLV +2.55%, GLD +0.42% — but that follows record monthly losses, silver's worst since 2011, as geopolitical premium unwound and the dollar held firm (DXY 101.19).Bloomberg China remains the quarter's laggard, KWEB +0.84% today but down -12.93% over 63 days as global liquidity rotated into the US small- and mid-cap rally.Bloomberg
Where to look: the down-cap chip rotation lives in INTC, AMD, AMAT and ALAB against SMH/SOXX; the dispersion regime says SPY/QQQ understate what is happening name-by-name. The rate-sensitive drag is concentrated in XLRE/IYR data-center REITs (DLR, EQIX) and XLV (LLY). Growth (IWF, QUAL) is the one clean multi-week tilt to lean on.
The May JOLTS bls.gov report, released at 10:00 AM ET, showed job openings holding at 7.6 million versus a 7.3 million consensus — a hawkish surprise that keeps high vacancy levels intact and argues against near-term Fed easing, even as hires and separations were little changed.
The Dallas Fed Texas Retail and Service-sector Outlook Survey, released at 10:30 AM ET, rebounded sharply, with the General Business Activity Index rising to 2.9 from -7.7 in May and the Company Outlook Index jumping 12 points to 6.1 — though the Selling Prices Index climbed to 7.7 from 5.0, a reminder of sticky input-cost pressure.
Variance decomposition: live intraday — 20260630 session, bracketed against its trailing-year range. Factor returns are trailing through last close.
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Beta | +0.82% z+0.8 | +1.37% | -2.94% | -0.01% | +15.14% |
| Residual Volatility | +0.17% z+0.3 | +0.79% | +0.08% | -4.69% | +0.56% |
| Style | |||||
| Liquidity | -0.49% z-1.7 | -0.08% | -0.79% | -2.12% | +1.61% |
| Growth | +0.25% z+1.0 | -0.01% | +0.56% | +0.98% | +1.88% |
| Leverage | -0.14% z-0.8 | -0.03% | +0.16% | +0.47% | +1.42% |
| Size | +0.23% z+0.6 | +0.62% | -1.24% | -1.63% | +0.71% |
| Value | -0.14% z-0.6 | -0.52% | -0.08% | -0.13% | +0.63% |
| Profitability | +0.10% z+0.5 | -0.07% | -0.55% | +0.58% | -0.32% |
| Dividend Yield | -0.02% z-0.1 | -0.03% | -0.87% | -0.73% | +1.36% |
| Style-Momentum | |||||
| Short-Term Momentum | -0.49% z-1.4 | +0.14% | +0.91% | -0.98% | -1.04% |
| One-Day Momentum | +0.39% z+1.3 | +0.38% | +0.20% | +1.03% | +3.48% |
| Long-Term Momentum | +0.67% z+1.0 | +0.95% | -0.70% | +2.98% | +7.81% |
| Medium-Term Momentum | +0.27% z+0.9 | +0.07% | +1.51% | +2.42% | +5.23% |
| Style-Positioning | |||||
| Hedge-Fund Ownership | +0.01% z+0.1 | -0.01% | +0.60% | +0.56% | -0.78% |
| Short Interest | +0.00% z+0.0 | +0.23% | +1.28% | +1.57% | +2.51% |
| Style-Flow | |||||
| Morning Activity | -0.11% z-0.7 | +0.03% | -0.25% | -1.20% | -2.66% |
| Short-Sale Activity | +0.05% z+0.4 | +0.07% | -0.02% | -0.65% | -3.78% |
| Thematic | |||||
| Semiconductors | +0.84% z+1.4 | +0.29% | -2.34% | +1.95% | +5.04% |
| Gold | -0.44% z-1.3 | -0.27% | -1.28% | -3.12% | -7.64% |
| Oil | +0.31% z+0.6 | +0.56% | -1.68% | -4.60% | -2.32% |
| China | -0.21% z-0.5 | -0.25% | -1.19% | -3.40% | -7.31% |
| Bitcoin / Crypto | -0.14% z-0.5 | -0.05% | -0.52% | -0.10% | -0.66% |
| Treasury (Duration) | -0.01% z-0.0 | -0.34% | +0.40% | -0.38% | -2.30% |
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.