The top 50 high-beta momentum names are down -7.76%, 16th worst of 1,647 sessions since 2020, while the rest of the universe is up +1.07% and SPY sits at +0.01%. A July 24 Goldman Sachs Prime Services note led by Vincent Lin calls this month's AI selling a "healthy reset"; today's print says the selling is still in progress. Beta at -2.04% (z=-2.1) is carrying 30% of the day's cross-sectional variance, and the session low was the most recent print.
Goldman's prime desk describes hedge funds net-selling US technology in six of the past eight weeks — the largest such episode in its decade of data — with AI positioning back down to the 65th percentile, net leverage at 71.3% as of July 23 and gross leverage at 313.7%. Their momentum measure is down roughly 40% over 17 trading sessions; the closest lens our bundle offers is Long-Term Momentum's trailing 20-day z of z=-1.2, a different construction over a different window, agreeing on direction and not comparable on size. Today is what gets added to that record: the crowded high-beta momentum cohort's top 50 names fell -7.76%, the broader ~190-name version -4.04% and 15.9% below its high, and the top 50 moved 1.9× the broader group against a 1.14× norm. The more a name fit the high-beta momentum profile, the harder it fell.
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Semiconductors | -1.41% | z=-2.4 | +1.2 | -1.4 | +0.2 | Thematic | High-exposure names underperformed |
| Medium-Term Momentum | +0.68% | z=+2.3 | -2.3 | -2.1 | +0.9 | Style-Momentum | Past month's winners kept leading |
| Liquidity | -0.64% | z=-2.2 | +1.1 | -0.1 | -0.4 | Style | Lowest-turnover names outperformed |
| Beta | -2.04% | z=-2.1 | -0.0 | -2.1 | -0.1 | Style-Risk | Most market-sensitive names underperformed |
| Long-Term Momentum | -1.32% | z=-2.0 | +0.9 | -1.2 | +0.6 | Style-Momentum | 1-year winners underperformed 1-year laggards |
| Series | Ret Pct |
|---|---|
| joint | -4.04 |
| tight50 | -7.76 |
| market | 0.07 |
| rest | 1.07 |
The damage is sorted by exposure, not by news. The highest-beta names fell -5.85%, the strongest 1-year winners -3.50%, and the most semiconductor-exposed -4.48% on a Semiconductors factor at z=-2.4. Micron is down -7.52% with the style complex accounting for essentially all of it and the stock's own move a positive +1.19%; SanDisk -11.03%, Nebius -12.15%, Bloom Energy -13.30% and Aehr Test Systems -12.78% are the same picture. Intel, whose largest exposures are 1-year momentum at 3.4σ, semiconductors at 2.3σ and beta at 2.2σ, is -5.79% the session after its results. Alphabet's capital-spending guidance of $195–205 billion and its first negative free-cash-flow quarter set this off yesterdayFT, and Microsoft and Meta report into the same scrutiny next weekBloomberg.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | 0.48 |
| 2 | 1.43 |
| 3 | 1.40 |
| 4 | 1.12 |
| 5 | 1.16 |
| 6 | 1.34 |
| 7 | 1.17 |
| 8 | 1.59 |
| 9 | 1.05 |
| 10 | 1.15 |
| 11 | 0.60 |
| 12 | 0.24 |
| 13 | 0.72 |
| 14 | 0.85 |
| 15 | 0.43 |
| 16 | -0.26 |
| 17 | -0.96 |
| 18 | -2.26 |
| 19 | -3.69 |
| 20 | -5.91 |
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| DRAM | memory chips & storage | -8.71% | +0.92% | +11.39% | -16.63% | +56.30% |
| EWY | south korea | -5.75% | +2.01% | +6.43% | -11.86% | +11.59% |
| AIPO | AI power infrastructure | -3.74% | +0.63% | +4.10% | -7.41% | +1.06% |
| SMH | semiconductors | -3.28% | -1.15% | +1.98% | -6.26% | +21.67% |
| MTUM | momentum | -2.44% | -0.08% | +3.48% | -4.39% | +13.76% |
| ARKK | innovation growth | -2.39% | -2.89% | -3.70% | -3.77% | -6.90% |
| USO | oil | -2.55% | +5.93% | +16.92% | +31.24% | +7.80% |
| SPY | large cap | +0.01% | -1.23% | -1.67% | +0.67% | +3.79% |
| IWD | large and mid cap value | +0.81% | -0.54% | -1.31% | +2.15% | +8.66% |
| XLRE | real estate | +2.15% | -0.13% | -1.12% | +0.99% | +3.43% |
Here is the part the index-level story misses: Medium-Term Momentum is +0.68% (z=+2.3), its 98.7th percentile since 2020 and the strongest reading since April 29 — the past month's relative winners kept outperforming the past month's losers even as the 1-year winners were marked down -1.32%. Two momentum horizons pointing opposite ways narrows the target: what is being sold is the year-long high-beta AI complex specifically, not strength as a characteristic. DRAM at -8.71% against +56.30% over 63 days and EWY at -5.75% put the same boundary on the map geographically, with memory names facing earnings this weekBloomberg.
Real estate is the best sector on a median-stock basis at +1.44%, and the driver is company-specific: Digital Realty +12.62%, almost entirely its own move and the largest such move in its trailing year, after raising full-year core FFO guidance on a record signed-but-not-commenced backlogEconomic Times. Rexford Industrial, also fresh off results, is +8.51%; XLRE at +2.15% reverses a -1.12% week. Rates helped at the margin — the 2-year at 4.33% (-3.4 bp) and the 10-year at 4.68% (-2.4 bp)CNBC — though the 30-year at 5.16% keeps the long end near levels last seen in 2007Bloomberg. The AI bill is not shrinking; it is changing hands, with BlackRock marketing $12.3 billion of bonds for a Meta data center this morningBloomberg. Elsewhere the day belonged to single names with their own results: Tenet Healthcare +15.71%Economic Times, SLB +10.67%CNBC, SAP +9.66% on 24% constant-currency cloud growthBloomberg, against American Express -4.95% — the day's sharpest negative stock-specific move — after this morning's report.
| Sector | Median Ret Pct |
|---|---|
| Information Technology | -0.71 |
| Energy | -0.22 |
| Health Care | -0.08 |
| Utilities | 0.10 |
| Materials | 0.14 |
| Industrials | 0.40 |
| Communication Services | 0.90 |
| Financials | 0.94 |
| Consumer Discretionary | 1.03 |
| Consumer Staples | 1.18 |
| Real Estate | 1.31 |
In yesterday's session the group's volume ran at 0.4× the pace of the broader market, the names did not move as one basket, and the easiest-to-sell names were not sold first: the most liquid third was +0.06% while the least liquid was -1.89%. That is not the fingerprint of a margin-driven exit. Index volatility agrees — VIX at 18.35, the 54th percentile of its own history, against implied single-stock volatility (Cboe VIXEQ) at 47.31, the 97th. Underneath, realized 20-day pairwise correlation is 4.15%, the 0.2nd percentile since 2020 and pinned there since earlier this week, with style factors carrying 27.3 vol points of the blended 20-day variance (93.1st percentile) against 8.4 for the index leg (1.2nd). Oil is the other thing that stopped helping: USO -2.55% today after +31.24% over 20 days, with Brent back off the $100 handleBloomberg.
| Series | Today Vol Pts | Prev Close Vol Pts |
|---|---|---|
| total | 46.00 | 46.21 |
| market | 8.40 | 8.58 |
| style | 27.30 | 26.85 |
Where to look in a book: DRAM, SMH, EWY, AIPO and MTUM for the exposure being sold; MU, SNDK, NBIS and BE as names whose moves are the factor complex rather than their own stories; XLRE, VNQ, IYR, DLR and REXR for the receiving end; IWD and USMV (+0.68%) for the low-beta side that is being left alone.
S&P Global's flash US composite PMI, released at 9:45 AM ET, rose to 53.6 from 51.9 — the fastest expansion since November — with services at 53.6 against a 51.2 consensus and manufacturing slipping to 53.8; selling-price inflation ran near a four-year high. The New York Fed's staff nowcast, updated at 12:45 PM ET, left 2026:Q2 growth at 2.8% and Q3 at 2.6%, unchanged on the week's data. Futures put roughly a 38% probability on a hike at the July 29 FOMC federalreserve.gov meeting, up from 12% a week ago, with September odds at 82%CNBC.
Variance decomposition: live intraday — 20260724 session, bracketed against its trailing-year range. Factor returns are trailing through last close. Total cross-sectional dispersion: 68%ile of the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 15%ile style 98.4%ile thematic 51%ile idiosyncratic 9.6%ile
Variance explained — today vs. factor's trailing-year range
Marker = the factor's share of today's total variance, placed in its own trailing-year range (box 25–75%ile, ticks 90%ile and max). Amber marker = unusually load-bearing today (≥90%ile of its own year). Factor name green = up today / red = down.
Correlation & dispersion — realized vs implied
Pairwise realized correlation (20d): 4.15% 0.2%ile since 2020 · 4.8%ile 3m
Top-500 pairwise: 6.18% 1.2%ile since 2020 · 6.3%ile 3m · implied (Cboe COR1M): 7.59 1.0%ile of its own history (gap -1.4pp)
Realized 20d vol (ann. pts): all stocks 46 vs VIXEQ 47 · index 8 vs VIX 18 · style factors 27 93.1%ile
20-day window (19 completed days + today); percentiles vs model history since 2020; '3m' tokens rank vs the trailing 63 trading days; definitions in Terms below. Implied prints (Cboe) are delayed ~15 min. as of 14:41 ET
Top 50 high-beta momentum names (eq-wt, since-2020 rank): -7.8% 0.9%ile · rest of market +1.1%
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Beta | -2.04% z-2.1 | -0.54% | +1.50% | -6.40% | +0.05% |
| Residual Volatility | -0.52% z-1.0 | -0.12% | +0.15% | +0.04% | -0.89% |
| International | -0.01% z-0.0 | -0.13% | +0.19% | +0.84% | -1.39% |
| Style | |||||
| Liquidity | -0.64% z-2.2 | -0.19% | +1.60% | -0.15% | -0.75% |
| Dividend Yield | -0.21% z-1.1 | -0.07% | +0.68% | +0.14% | +1.02% |
| Value | +0.25% z+1.0 | +0.03% | +0.18% | -0.63% | -1.18% |
| Leverage | -0.06% z-0.3 | +0.20% | +0.53% | -0.86% | +0.22% |
| Profitability | +0.05% z+0.2 | +0.21% | +0.10% | -0.50% | -0.71% |
| Size | -0.09% z-0.2 | -0.27% | -0.30% | -0.15% | +0.34% |
| Growth | +0.03% z+0.1 | +0.33% | +0.02% | +1.36% | +2.01% |
| Style-Momentum | |||||
| Medium-Term Momentum | +0.68% z+2.3 | -0.55% | -2.19% | -2.87% | +1.25% |
| Long-Term Momentum | -1.32% z-2.0 | +0.77% | +3.52% | -0.66% | +4.37% |
| Short-Term Momentum | -0.44% z-1.3 | +0.16% | -0.88% | -1.59% | -2.75% |
| One-Day Momentum | -0.34% z-1.2 | +0.11% | -0.55% | -1.33% | +1.45% |
| Style-Positioning | |||||
| Short Interest | +0.17% z+0.9 | -0.20% | -1.04% | -0.15% | +1.01% |
| Hedge-Fund Ownership | +0.01% z+0.1 | -0.03% | -0.52% | +0.49% | -0.97% |
| Style-Flow | |||||
| Short-Sale Activity | +0.11% z+1.0 | -0.21% | -0.36% | -0.40% | -0.29% |
| Morning Activity | +0.01% z+0.1 | -0.19% | -0.28% | -0.03% | -1.34% |
| Thematic | |||||
| Semiconductors | -1.41% z-2.4 | +0.80% | +3.44% | -1.05% | +2.18% |
| Oil | -0.67% z-1.3 | -0.07% | +1.43% | +1.72% | -0.24% |
| Bitcoin / Crypto | -0.24% z-0.8 | -0.32% | +0.24% | -0.40% | -1.05% |
| Gold | +0.23% z+0.7 | +0.03% | +1.05% | +1.27% | -3.53% |
| Treasury (Duration) | +0.18% z+0.5 | +0.25% | +0.87% | +1.14% | +0.38% |
| China | +0.20% z+0.5 | -0.61% | -0.07% | +0.40% | -5.08% |
Pairwise realized correlation. Index variance net of the weighted idiosyncratic diagonal, over the cross terms — the estimator used for implied-correlation indices. 20-day window unless noted; history since 2020.
Factor z-score. Today's factor return divided by its daily-return standard deviation over ~1,600 trading days.
High-beta momentum cohort. US names above $2B market cap in the top quintile of both raw beta and 12-month momentum; membership frozen at each month's first business day. “Top 50” = the 50 strongest by combined rank.
Stock-specific (idiosyncratic) return. The part of a stock's move not explained by market, style, or thematic factors in our decomposition.
VIXEQ / DSPX / COR1M. Cboe implied indices: single-stock volatility, dispersion, and 1-month implied correlation (top-50 S&P names). Quotes delayed ~15 minutes.
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.