A day after OpenAI shipped GPT-6 Astra, the buying went to the compute names that spent the quarter being sold: the top 50 high-beta momentum names ran +4.58%, a 95th-percentile session since 2020, while the rest of the market fell -0.37% and SPY lost -0.48%. Semiconductors returned +1.22% at z=+2.0 with the highest-exposure names doing all of the work. The buying skipped the month's leaders entirely — Medium-Term Momentum at z=-2.8 is the past month's winners handing back gains.
OpenAI released GPT-6 Astra on Thursday, and Friday's bid landed on the picks-and-shovels end of it The Economist. Aehr Test Systems +13.54%, AXT +9.48% and Silicon Motion +8.93% led the semiconductor-equipment names. Almost none of it was company news: the day's beta and semiconductor complex carried those moves nearly in full, and Micron's +6.09% regular-session gain had essentially no stock-specific component in it. Broadcom, which reported after Thursday's close, added +0.28% in the regular session — the complex's biggest name is not what moved it.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | -0.79 |
| 2 | -0.78 |
| 3 | -0.40 |
| 4 | -0.00 |
| 5 | 0.09 |
| 6 | 0.20 |
| 7 | -0.48 |
| 8 | -0.55 |
| 9 | -0.70 |
| 10 | -0.98 |
| 11 | 0.14 |
| 12 | -0.03 |
| 13 | -0.00 |
| 14 | -0.15 |
| 15 | -0.03 |
| 16 | 0.03 |
| 17 | 0.01 |
| 18 | 0.52 |
| 19 | 0.88 |
| 20 | 3.29 |
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Medium-Term Momentum | -0.81% | z=-2.8 | -0.6 | +0.6 | +0.2 | Style-Momentum | Month's winners gave back |
| Semiconductors | +1.22% | z=+2.0 | +1.3 | -0.1 | -1.1 | Thematic | High-exposure names led |
| One-Day Momentum | -0.47% | z=-1.7 | -0.8 | -1.4 | -0.9 | Style-Momentum | Thursday's movers reversed |
| Gold | -0.52% | z=-1.6 | +0.6 | +2.4 | +1.3 | Thematic | Gold-exposed lagged into a strong month |
| Beta | +1.41% | z=+1.5 | +0.5 | -0.5 | -0.6 | Style-Risk | High-beta outperformed |
| Leverage | +0.24% | z=+1.4 | +0.4 | -0.8 | -2.5 | Style | Levered names reversed a quarter-long drag |
| Short Interest | -0.23% | z=-1.4 | -0.6 | -0.3 | +0.6 | Style-Positioning | Most-shorted names lagged, no squeeze |
What makes the size of this believable is where the complex started. The high-beta momentum names entered the session deep in drawdown, and the semiconductor and AI-power funds carry the same scar tissue: SMH -11.94% and AIPO -14.71% over 63 days. Korea, the memory-chip proxy, is -11.48% over the same stretch and rose +4.36% today.
| Series | Prev Close Level |
|---|---|
| joint | 482.26 |
| tight50 | 505.29 |
| market | 447.08 |
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| DRAM | memory chips & storage | +6.49% | -0.39% | -1.48% | +8.85% | -14.78% |
| EWY | south korea | +4.36% | +0.95% | -0.87% | +10.02% | -11.48% |
| SMH | semiconductors | +2.49% | +0.39% | -3.56% | -3.30% | -11.94% |
| AIPO | AI power infrastructure | +2.05% | +2.12% | -2.50% | -4.62% | -14.71% |
| MTUM | momentum | +1.52% | +0.80% | -1.58% | -2.84% | -8.12% |
| SPY | large cap | -0.48% | +1.05% | +0.27% | +0.60% | +2.12% |
| GDX | gold miners | -2.04% | +3.95% | -2.12% | +20.94% | +17.47% |
| IGV | software | -2.24% | +3.41% | -3.05% | +7.57% | +6.89% |
| BITO | crypto | -2.54% | +5.87% | +2.13% | +26.55% | +27.28% |
August nonfarm payrolls bls.gov came in at 162,000, nearly triple the roughly 55,000 consensus, with unemployment steady at 4.1% BLS. Fed funds futures moved to price a hike at the September 16 meeting as the front end sold off Bloomberg. The repricing was almost entirely in the short end: the 2-year rose 4 bps to 4.374% while the 30-year added 0.2 bp at 5.245% CNBC.
The hard-asset trades wore it. Spot gold was $4,430.21 at 4:39 PM ET, down -0.95% on the day CNBC, with the dollar index at 99.161 CNBC; GDX fell -2.04% and the Gold factor -0.52% at z=-1.6 Bloomberg. Bitcoin was $79,752 at 4:38 PM ET, -2.21% CNBC, and BITO -2.54%.
Those are the same names sitting in the top exposure bucket of Medium-Term Momentum, which is why that factor printed the day's most extreme reading — -0.81%, z=-2.8, inside the bottom 1.3% of sessions since 2020. Gold miners, silver and crypto proxies dominate the bucket of the past month's biggest winners, and it fell -1.33%. Two different catalysts, one cross-sectional footprint: the month's leadership sold, the quarter's laggards bought.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | 1.30 |
| 2 | 1.17 |
| 3 | 1.08 |
| 4 | 0.31 |
| 5 | 0.09 |
| 6 | 0.44 |
| 7 | 0.41 |
| 8 | 0.01 |
| 9 | -0.05 |
| 10 | 0.16 |
| 11 | -0.05 |
| 12 | -0.27 |
| 13 | 0.05 |
| 14 | -0.08 |
| 15 | -0.38 |
| 16 | -0.65 |
| 17 | -0.82 |
| 18 | -0.63 |
| 19 | -0.53 |
| 20 | -1.33 |
The index did not join in: SPY -0.48%, DIA -0.83%, and software the worst of the big themes at IGV -2.24%. Three of the five largest stock-specific losses in the universe were software names. Guidewire closed the regular session -19.89%, erasing $3.4B of market value, after guiding fiscal-2027 ending recurring revenue to $1.45B–$1.46B — 18% growth against the 19% just delivered WSJ. UiPath closed -16.31%; its results release guided third-quarter revenue to $440M–$445M, a step down to roughly 8% growth. Fair Isaac closed -16.77%, taking about $4B off, after Bill Pulte renewed his attack on the three-bureau mortgage credit mandate Bloomberg. Outside tech, Lululemon closed -17.34% on a second cut to full-year guidance WSJ.
Health care was the quiet drag, XLV -1.31%, and most of its headline damage arrived after the bell rather than in the session: Amgen closed -1.57% and then fell a further -5.09% in late trading, Novartis -1.94% and then -2.92%. That second leg belongs to whatever broke after 4 PM, not to today's factor moves.
The market leg explained 0.5% of cross-sectional variance today against a 9.3% one-year average, while style carried 38.7% versus 21.8%, Beta alone 21.7%. Net exposure told a book nothing today; factor tilt told it everything. Twenty-day realized pairwise correlation remains pinned at 6.6%, in the 1.1st percentile since 2020 — that is the standing condition under which a 4-plus-percent move in one style bucket coexists with a half-percent index drop.
The other structural marker is Leverage. It has run -3.42% over the trailing 60 sessions (z=-2.5 on the 63-day window) and paid +0.24% today at z=+1.4: the balance-sheet-heavy names came back alongside the high-beta bid. The exposure vectors put Beta and 12-month momentum on the same side as the high-beta momentum cohort, at correlations of 0.52 and 0.58. At the 12-month horizon it was a momentum trade: 12-month momentum returned +0.61% and the momentum fund MTUM rose +1.52%. The past month's winners were the source of funds, with 20-day momentum at -0.81% and z=-2.8. Quality sat it out: QUAL -0.39%. A single session leaves SMH -11.94% over 63 days; the drawdown that made this move possible is mostly intact.
The Employment Situation, released at 8:30 AM ET, showed nonfarm payrolls up 162,000 against a Dow Jones consensus near 53,000, with the unemployment rate unchanged at 4.1% and hiring led by food services and local government education BLS. The New York Fed Staff Nowcast, out at 12:45 PM ET, lifted its third-quarter GDP bea.gov estimate 0.1 point to 2.3%, with the payroll beat partly offset by weaker inventories, housing and headline PCE bea.gov. The Global Supply Chain Pressure Index, at 10:00 AM ET, held at 0.79 standard deviations for August, unchanged from July and well below April's 1.84 peak.
Variance decomposition: live intraday — 20260904 session, bracketed against its trailing-year range. Factor returns are trailing through last close. Total cross-sectional dispersion: 27%ile of the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 18%ile style 92.8%ile thematic 71%ile idiosyncratic 21%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): 6.60% 1.1%ile since 2020 · 27%ile 3m
Top-500 pairwise: 6.35% 1.7%ile since 2020 · 13%ile 3m · implied (Cboe COR1M): 8.64 2.3%ile of its own history (gap -2.3pp)
Realized 20d vol (ann. pts): all stocks 40 vs VIXEQ 36 · index 9 vs VIX 15 · style factors 19 66%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 16:21 ET
Top 50 high-beta momentum names (eq-wt, since-2020 rank): +4.6% 95.2%ile · rest of market -0.4%
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Beta | +1.41% z+1.4 | +0.60% | +1.16% | -2.06% | -2.72% |
| Residual Volatility | -0.39% z-0.8 | +0.43% | +0.01% | +1.94% | +0.99% |
| International | -0.05% z-0.2 | +0.03% | +0.60% | +1.14% | +0.71% |
| Style | |||||
| Leverage | +0.24% z+1.4 | -0.06% | +0.14% | -0.61% | -3.42% |
| Liquidity | +0.35% z+1.3 | -0.15% | +1.01% | +2.59% | +0.01% |
| Profitability | +0.24% z+1.2 | -0.29% | -0.37% | -0.85% | -2.27% |
| Size | -0.25% z-0.7 | +0.21% | +0.11% | +0.45% | -0.39% |
| Value | +0.16% z+0.7 | -0.09% | +0.36% | +0.51% | -0.59% |
| Dividend Yield | +0.08% z+0.5 | -0.04% | +0.24% | +0.63% | -0.80% |
| Growth | -0.02% z-0.1 | +0.02% | -0.17% | +0.17% | +2.33% |
| Style-Momentum | |||||
| Medium-Term Momentum | -0.80% z-2.8 | +0.31% | -0.38% | +0.81% | +0.77% |
| One-Day Momentum | -0.47% z-1.7 | -0.30% | -0.52% | -1.70% | -1.38% |
| Long-Term Momentum | +0.61% z+0.9 | -0.59% | +0.79% | +0.51% | -4.55% |
| Short-Term Momentum | +0.05% z+0.2 | +0.05% | -0.31% | -1.96% | -7.11% |
| Style-Positioning | |||||
| Short Interest | -0.23% z-1.4 | -0.20% | -0.23% | -0.19% | +0.75% |
| Hedge-Fund Ownership | +0.10% z+0.9 | -0.09% | -0.23% | +0.22% | +1.03% |
| Style-Flow | |||||
| Short-Sale Activity | -0.07% z-0.6 | +0.24% | +0.30% | +0.66% | +0.46% |
| Morning Activity | -0.07% z-0.6 | +0.01% | +0.32% | +1.62% | +2.02% |
| Thematic | |||||
| Semiconductors | +1.22% z+2.0 | -0.65% | +1.70% | -0.14% | -5.25% |
| Gold | -0.52% z-1.6 | +0.62% | +0.47% | +3.42% | +4.20% |
| Bitcoin / Crypto | -0.39% z-1.3 | +0.47% | +0.37% | +2.39% | +1.56% |
| Treasury (Duration) | +0.09% z+0.3 | -0.52% | +0.14% | -0.80% | -0.18% |
| China | +0.09% z+0.2 | -0.11% | -0.26% | -0.07% | -0.27% |
| Oil | -0.05% z-0.1 | -0.27% | +0.80% | +3.66% | +1.20% |
5/20/60d windows include today's session; 1d is the previous session.
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.
Market variance share. The fraction of cross-sectional variance explained by the market factor — the attribution companion to pairwise correlation, not a substitute for it.
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.
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.