Worries about the debt behind the AI building boom knocked chip stocks down for a fifth straight day and sent investors into Treasurys, pulling the 10-year yield down about 10 basis points to roughly 5.09%. The fear centers on AI cloud company CoreWeave, whose bonds fell to about 77 cents on the dollar, yielding around 16%, while the cost of insuring its debt against default hit a record. Its shares were down as much as 9.5% in the morning and traded about 3% lower late in the day after Nvidia CEO Jensen Huang, speaking in Stockholm, turned down calls to backstop CoreWeave's debt but said its borrowing costs are falling. Chipmaker TSMC fell about 2% even after a big profit beat and a raised forecast for 44% revenue growth in 2026, and server maker Dell fell about 7% after a Barclays downgrade. In South Korea, the KOSPI hit an 8% circuit breaker as memory-chip makers SK Hynix fell 11% and Samsung Electronics fell 10% on competition from China.
Falling yields set off a relief rally in homebuilders: the homebuilder fund ITB rose about 4% and the homebuilder fund XHB about 3%, though both remain down roughly 16% over the past three months. The long-term Treasury fund TLT gained about 1.6%. Bond buyers looked past a 1.3% jump in September wholesale prices, the biggest monthly rise since 2022, helped by a sharp drop in the Philadelphia Fed's factory survey. The dollar slipped, gold climbed about 1.6% to roughly $4,170 an ounce, and the gold-miner fund GDX rose about 4%.
Under the surface, investors sold last year's biggest winners and bought the laggards and smaller companies. The stocks that had lagged most over the past year jumped nearly 5%, and the smallest companies gained about 3%. That selling hit energy shares even as oil rose about 3% to near $98 a barrel on a drop in U.S. inventories: the energy-stock fund XLE fell about 1.6%, after a roughly 19% run over three months. Drugmaker Eli Lilly rose about 4%, adding about $40 billion in market value as money moved toward defensive stocks, and network-equipment maker Ericsson jumped about 12% on strong quarterly sales of network gear.
The catalyst began in the AI credit markets and spilled directly into equity factor positioning. CoreWeave's 9.625% senior notes due 2032 sank to 76.5 cents on the dollar to yield roughly 16%, while its 5-year CDS widened up to 74.5 basis points to a record 1,194.5 basis points, pricing in more than a 60% probability of default Bloomberg. Speaking in Stockholm, Nvidia CEO Jensen Huang stated that CoreWeave's cost of capital is decreasing and declined calls to provide a credit backstop, which helped CoreWeave shares pare a 9.5% morning loss to trade down 3.3% by late afternoon Bloomberg. Credit anxiety simultaneously hit Oracle (ORCL), where 5-year CDS reached a record 288 basis points and $18 billion in Project Jupiter construction loans traded below 90 cents on the dollar after a September 24 force majeure notice over New Mexico pipeline delays Financial Times.
Style factors explained 28.6% of cross-sectional variance against a 22.7% one-year average (80.5th percentile), while thematic factors accounted for 6.4% (95.6th percentile). Rather than triggering an indiscriminate liquidation, the AI debt scare drove a targeted factor rotation out of large-cap 12-month winners and into duration-sensitive and small-cap equities.
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Treasury (Duration) | +1.00% | z=+3.1 | +0.7 | -0.8 | -1.1 | Thematic | High-duration outperformed |
| Semiconductors | -1.45% | z=-2.4 | -2.1 | -0.9 | -1.0 | Thematic | Chip names lagged |
| Size | -0.82% | z=-2.4 | +0.1 | +1.3 | +1.3 | Style | Small-caps outperformed |
| Long-Term Momentum | -1.49% | z=-2.3 | -1.1 | -0.2 | -0.3 | Style-Momentum | 1-yr laggards rebounded |
| One-Day Momentum | +0.64% | z=+2.3 | +1.0 | -0.2 | -0.6 | Style-Momentum | Yesterday's winners continued |
| Oil | -1.07% | z=-2.3 | -0.8 | -0.2 | +1.3 | Thematic | Energy exposure lagged |
| Liquidity | +0.54% | z=+2.0 | -0.4 | -0.1 | +0.5 | Style | Liquid names outperformed |
| Hedge-Fund Ownership | +0.21% | z=+1.9 | +0.9 | +0.4 | -0.6 | Style-Positioning | HF-owned outperformed |
The Semiconductors factor fell 1.45% (z=-2.4), logging its fifth consecutive down day for a 60-day cumulative loss of 6.97%. The selling persisted even after Taiwan Semiconductor Manufacturing (TSM) reported a 68.7% year-over-year surge in Q3 net income to NT$763.06 billion on record revenue of $46.72 billion, while upgrading its full-year 2026 revenue growth forecast to 44% from 40%. TSMC closed the regular session down 1.9% (and rose 0.5% in post-close trading for a combined mark of -1.4%), with our decomposition showing its move was entirely factor-driven: style factors pulled the stock down 2.0% and thematic exposures cost 0.5%, leaving an idiosyncratic residual of just -0.04%.
| Bucket | Ret 1D Pct | Ret 5D Norm Pct | Ret 20D Norm Pct | Ret 63D Norm Pct |
|---|---|---|---|---|
| 1 | 4.50 | -0.79 | -0.05 | 0.65 |
| 2 | 3.30 | -1.01 | -0.70 | -0.01 |
| 3 | 3.28 | -0.67 | -0.63 | 0.02 |
| 4 | 2.76 | -0.40 | -0.78 | -0.37 |
| 5 | 2.82 | -0.65 | -0.98 | -0.87 |
| 6 | 2.45 | -0.25 | -0.48 | 0.13 |
| 7 | 2.24 | -0.16 | -0.79 | -0.39 |
| 8 | 1.91 | -0.42 | -0.77 | -0.71 |
| 9 | 2.06 | 0.72 | -0.32 | -0.47 |
| 10 | 1.80 | -0.14 | -0.67 | -0.32 |
| 11 | 1.39 | -0.22 | -0.68 | -0.53 |
| 12 | 1.16 | -0.29 | -0.33 | -0.67 |
| 13 | 1.19 | -0.13 | -0.63 | -0.77 |
| 14 | 1.03 | -0.08 | -0.64 | -0.68 |
| 15 | 1.22 | -0.59 | -0.79 | -1.18 |
| 16 | 0.44 | -0.20 | -0.67 | -0.75 |
| 17 | 0.20 | -0.53 | -0.43 | -0.87 |
| 18 | 0.02 | -1.05 | -0.42 | -0.56 |
| 19 | -0.44 | -1.65 | -0.24 | -0.24 |
| 20 | -0.22 | -5.86 | -2.09 | -1.76 |
Pressure was acute across AI hardware and memory chips. Dell Technologies (DELL) closed the regular session down 7.3% (adding 0.8% post-close to mark -6.5%) following a Barclays downgrade to Equal Weight that cited uninflected enterprise AI demand; our model attributes 5.3% of Dell's decline to style tilts—led by a 3.6% drag from 12-month momentum—and 1.8% to stock-specific selling. Overseas, South Korea's KOSPI triggered an 8% circuit breaker as SK Hynix fell 11.4% and Samsung Electronics dropped 9.7% on competitive threats from China's CXMT Financial Times, dragging the iShares MSCI South Korea ETF (EWY) down 2.1% and the Roundhill Memory ETF (DRAM) down 1.5%.
Fixed-income markets looked past a 1.3% monthly jump in September PPI and sought shelter from the technology selloff, pulling the 10-year Treasury yield down 9.9 basis points to 5.091% and the 2-year yield down 4.5 basis points to 4.757% CNBC CNBC. The U.S. Dollar Index (DXY) slipped 0.5% to 102.02 as of 4:06 PM EDT CNBC, lifting spot gold 1.6% to $4,168.75/oz as of 4:49 PM EDT CNBC. In equities, Treasury (Duration) climbed 1.00% (z=+3.1), reversing against a 60-day cumulative decline of 3.10% (63-day z=-1.1) as the highest-duration vigintile rallied 3.6%.
| T | Mub | Iyr | Vnq | Xlre | Xhb |
|---|---|---|---|---|---|
| 2026-09-16 | -0.05 | -0.66 | -0.66 | -0.60 | -0.98 |
| 2026-09-17 | 0.28 | -0.37 | -0.31 | -0.30 | -0.71 |
| 2026-09-18 | 0.01 | -1.32 | -1.26 | -1.25 | -1.40 |
| 2026-09-21 | -0.01 | -0.41 | -0.31 | -0.29 | -0.27 |
| 2026-09-22 | -0.12 | -0.63 | -0.51 | -0.50 | 2.25 |
| 2026-09-23 | -0.81 | -2.08 | -1.96 | -2.05 | -0.14 |
| 2026-09-24 | -1.24 | -2.52 | -2.26 | -2.49 | -0.43 |
| 2026-09-25 | -1.65 | -2.70 | -2.45 | -2.70 | 1.13 |
| 2026-09-28 | -2.20 | -3.17 | -2.88 | -3.19 | 0.08 |
| 2026-09-29 | -2.52 | -3.21 | -2.95 | -3.22 | -0.26 |
| 2026-09-30 | -1.72 | -4.30 | -3.91 | -4.22 | -1.23 |
| 2026-10-01 | -1.22 | -4.87 | -4.41 | -4.76 | -0.46 |
| 2026-10-02 | -1.59 | -4.57 | -4.05 | -4.46 | -0.54 |
| 2026-10-05 | -1.43 | -4.98 | -4.43 | -4.79 | -0.95 |
| 2026-10-06 | -1.53 | -4.08 | -3.59 | -3.78 | 0.15 |
| 2026-10-07 | -2.02 | -5.46 | -4.92 | -5.02 | -2.40 |
| 2026-10-08 | -1.80 | -4.67 | -4.21 | -4.36 | -1.59 |
| 2026-10-09 | -1.47 | -3.23 | -2.82 | -2.59 | -2.52 |
| 2026-10-12 | -1.39 | -2.47 | -2.06 | -1.86 | -3.26 |
| 2026-10-13 | -0.80 | -2.71 | -2.29 | -2.07 | -2.67 |
| 2026-10-14 | -0.91 | -3.40 | -3.14 | -2.87 | -4.51 |
| 2026-10-15 | -0.10 | -2.16 | -1.95 | -1.69 | -1.58 |
The yield pullback sparked a relief rally across rate-sensitive funds that sit in the bottom decile of their 63-day return distributions since 2018: the iShares U.S. Home Construction ETF (ITB) gained 3.9% (vs. -16.1% over 63 days), the SPDR S&P Homebuilders ETF (XHB) rose 3.1% (-15.8% over 63 days), and the iShares 20+ Year Treasury Bond ETF (TLT) advanced 1.6% CNBC. Home Depot (HD) gained 4.1%, adding $12.1B in market value.
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| GDX | Gold Miners | +4.3% | -4.4% | -2.4% | -10.1% | +16.8% |
| ITB | Homebuilders | +3.9% | -1.5% | -1.6% | -5.4% | -16.1% |
| WGMI | Crypto Miners | +3.4% | -10.7% | -21.3% | -24.1% | -29.7% |
| XHB | Homebuilders | +3.1% | -1.9% | -2.2% | -3.6% | -15.8% |
| USO | Crude Oil | +2.4% | +0.3% | +6.7% | -1.7% | +28.7% |
| XLV | Healthcare | +1.9% | +2.5% | +3.1% | +4.1% | +7.9% |
| TLT | 20+ Yr Treasuries | +1.6% | +0.7% | +2.3% | -2.1% | -5.2% |
| SMH | Semiconductors | -0.9% | -4.0% | -9.7% | +3.5% | -0.7% |
| DRAM | Memory & Storage | -1.5% | -5.1% | -16.5% | -9.4% | -4.2% |
| XLE | Energy Equities | -1.6% | +0.6% | +6.7% | +6.3% | +19.3% |
| EWY | South Korea | -2.1% | -4.0% | -13.0% | -9.0% | -2.2% |
Cross-sectionally, the rotation out of mega-cap winners into beaten-down laggards dominated variance. 12-month momentum—Long-Term Momentum in the table—fell 1.49% (z=-2.3), accounting for 13.1% of total cross-sectional variance (96.4th percentile since 2020) as the bottom vigintile of one-year laggards surged 4.8%. 20-day momentum—Medium-Term Momentum—fell 0.57% (z=-2.0), while yesterday's winners and losers—One-Day Momentum—gained 0.64% (z=+2.3) alongside a +0.28% gain in 5-day trend (z=+0.9), showing that yesterday's shift into defensive and cyclical names continued today. Size dropped 0.82% (z=-2.4, 5.6% of variance), cutting against its 20-day (+2.08%, z=+1.3) and 60-day (+3.29%, z=+1.3) large-cap trend as the smallest-cap vigintile gained 3.4%.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | 4.81 |
| 2 | 3.19 |
| 3 | 2.69 |
| 4 | 3.11 |
| 5 | 2.21 |
| 6 | 2.26 |
| 7 | 2.25 |
| 8 | 1.60 |
| 9 | 2.15 |
| 10 | 1.60 |
| 11 | 1.49 |
| 12 | 1.69 |
| 13 | 0.89 |
| 14 | 1.10 |
| 15 | 0.97 |
| 16 | 1.36 |
| 17 | 0.29 |
| 18 | 0.07 |
| 19 | -0.01 |
| 20 | -0.60 |
Positioning factors showed no signs of a forced hedge-fund liquidation. Hedge-Fund Ownership rose 0.21% (z=+1.9, and +0.12% on a raw basis at z=+0.8), while Short-Sale Activity gained 0.16% (z=+1.5) and Short Interest added 0.14% (z=+0.9, or +0.77% on a raw basis at z=+2.0) as the most heavily shorted names outperformed.
In commodities, the Oil factor fell 1.07% (z=-2.3) and the Energy Select Sector SPDR Fund (XLE) dropped 1.6%, decoupling from front-month WTI crude, which rose 2.7% to $97.63/bbl as of 4:38 PM EDT following an EIA-reported weekly inventory draw eia.gov CNBC The Wall Street Journal. Because energy equities have been strong multi-month winners (XLE +19.3% over 63 days; Oil factor +3.86% over 60 days), they were caught in today's 12-month momentum selloff rather than trading on crude fundamentals The Wall Street Journal.
Among single-name movers, FMC Corporation (FMC) tumbled 30.5% (-34.8% stock-specific) after slashing its Q3 revenue outlook to $65M–$125M from $840M–$900M and booking $625M–$675M in commercial restructuring charges to clear distributor inventory Financial Times. Conversely, Penske Automotive Group (PAG) jumped 8.9% (+8.1% stock-specific) on a definitive agreement to be taken private by Penske Corp. and Mitsui & Co. The Wall Street Journal, and Eli Lilly (LLY) gained 3.6% (+3.1% stock-specific), adding $40.4B of market value as investors rotated into defensive pharmaceuticals. In earnings, ManpowerGroup (MAN) fell 15.7% on a Q3 revenue miss, soft Q4 EPS guidance ($1.03–$1.13), and a CEO transition.
Earnings reactions in the regular sessionReporters worth over $100 billion, or moving more than 10% with a value above $5 billion
| Company | Move | Stock-specific | Market cap | Revenue YoY | Margin YoY | What drove it |
|---|---|---|---|---|---|---|
| Prologis PLD | -2.7% | -2.5% | $124B | +8% | +1.3 pts operating | Beat Q3 Core FFO and narrowed guidance |
| Charles Schwab SCHW | -2.5% | -4.6% | $167B | — | — | Q3 revenue and net interest income missed forecasts Financial Times |
| Taiwan Semiconductor Manufacturing TSM | -1.9% | -0.0% | $2.2T | — | — | Sector chip selloff offset Q3 beat and raise |
| Ericsson American Depositary Shares ERIC | +11.7% | +9.0% | $31B | — | — | Strong Q3 network infrastructure gear sales beat The Wall Street Journal |
Stock-specific: the part of a stock's move not explained by the market, style or thematic (industry and theme) factors in the FactorPulse risk model.
Revenue and margin from the company's earnings release, year over year; margin change in percentage points; — where the release is not parsed or the figures failed checks.
Season to date: 26 of the 500 largest companies have reported (8% of market cap), on day 11 of the season. Of the 36 stocks with a confirmed earnings reaction, smaller and foreign reporters included, 16 (44%) rose on a stock-specific basis, within the 41%–62% range at this point in the last 8 seasons.
Attention now turns to Interactive Brokers (IBKR) reporting after tonight's close, followed by regional bank earnings from Truist Financial (TFC), M&T Bank (MTB), and Citizens Financial (CFG), alongside Travelers Companies (TRV), before Friday's open.
The AI-infrastructure selloff is a segmented rout rather than broad credit contagion: acute debt distress is confined to leveraged neoclouds and bespoke project-finance vehicles, whereas hardware and memory chip names are falling on enterprise-demand and supply concerns Financial Times. In credit, CoreWeave's notes yield around 16% and Oracle's Project Jupiter construction loans trade below 90 cents on the dollar following pipeline permitting delays, while Gartner warned that $3.5 trillion in cumulative AI spending faces write-down risk by 2030 Bloomberg. By contrast, Dell's 7.3% session drop followed a Barclays downgrade over enterprise server demand and memory cost pass-throughs, and South Korea's chip selloff reflected hot U.S. inflation and Chinese DRAM competition from CXMT. There is no reporting of credit spread blowouts among primary hyperscalers (Microsoft, Meta, Alphabet, Amazon) or of bond distress driving the moves in nuclear and optical stocks; in fact, the Global X Uranium ETF (URA, +1.3%) and VanEck Uranium and Nuclear ETF (NLR, +2.0%) rebounded today.
Broad U.S. high-yield credit spreads have widened modestly while lower-tier CCC debt has decompressed sharply. According to Federal Reserve Bank of St. Louis (FRED) data updated October 15, the ICE BofA US High Yield Index Option-Adjusted Spread closed at 3.25% on October 14, up 59 basis points from its September 21 post-hike trough of 2.66%, while the CCC & Lower Option-Adjusted Spread reached 12.67% as of October 13. Fitch Ratings noted that institutional demand for BB-rated paper has kept headline spreads tight FITCHRATINGS, which aligns with the iShares iBoxx High Yield Corporate Bond ETF (HYG) rising 0.4% today (-1.6% over 20 days). Stress remains concentrated in highly leveraged borrowers—including CoreWeave's $51.6 billion debt load, according to Morningstar, and JetBlue Airways (JBLU), whose 2031 loyalty-backed notes fell to 72 cents on the dollar to yield nearly 19%, according to Bloomberg Law—keeping the Leverage factor under persistent pressure (-0.20% today at z=-1.2, and -4.80% over 60 days).
Today's +0.64% gain in One-Day Momentum (z=+2.3) reflects an internal equity rotation out of 12-month winners into laggards rather than systematic deleveraging or a flight from credit-exposed stocks. As reported by Crypto Briefing and Tickmill on October 13, Goldman Sachs EMEA Delta-One head Rich Privorotsky described the momentum move as a rotation into laggards rather than a liquidation, while Goldman Sachs Prime Brokerage data showed U.S. Fundamental Long/Short net leverage entering the week at 46.9% (2nd percentile of the past year) alongside gross leverage at 213.0% (53rd percentile). Our factor data confirms that funds are not liquidating books: Hedge-Fund Ownership gained 0.21% (z=+1.9), most-shorted stocks outperformed, and single-stock dispersion remains elevated (Cboe DSPX at 37.04, 95.8th percentile), matching Citadel Securities' October 14 observation of active repositioning beneath the index surface. Furthermore, PR Newswire reported on October 15 that leveraged issuers Calumet and The RealReal each completed $150 million debt refinancing or redemption actions, confirming that primary credit access remains open.
Four major U.S. economic releases printed at 8:30 AM ET. The Producer Price Index (PPI) for final demand surged 1.3% month-over-month in September (6.3% year-over-year), the largest monthly wholesale inflation jump since 2022, driven by energy and services costs BLS CNBC. Advance Retail Sales rose 0.8% in September, beating the 0.3% consensus forecast largely on a 6.4% spike in gasoline station receipts, as core sales excluding autos and gas gained 0.2% census.gov. Conversely, the Philadelphia Fed Manufacturing Survey plunged to 20.9 in October from 37.8 in September (missing the 28.4 consensus) as the new orders index dropped to 4.3 from 29.2, while Initial Jobless Claims ticked up by 1,000 to 199,000 for the week ended October 10 (below the 200,000 forecast), helping bond traders look past the hot September PPI print and bid Treasuries higher Labor Department CNBC.
Variance decomposition: live intraday — 20261015 session, bracketed against its trailing-year range. Factor returns are trailing through last close. Total cross-sectional dispersion: 63%ile of the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 84%ile style 80%ile thematic 95.6%ile idiosyncratic 12%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): 9.91% 9.1%ile since 2020 · 93.7%ile 3m
Top-500 pairwise: 11.60% 12%ile since 2020 · 81%ile 3m · implied (Cboe COR1M): 7.65 1.3%ile of its own history (gap +4.0pp)
Realized 20d vol (ann. pts): all stocks 37 vs VIXEQ 41 · index 10 vs VIX 16 · style factors 18 61%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 16:41 ET
Top 50 high-beta momentum names (eq-wt, since-2020 rank): -2.1% 19%ile · rest of market +1.9%
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Residual Volatility | +0.28% z+0.6 | -0.22% | -0.00% | +0.43% | +4.84% |
| Beta | -0.44% z-0.5 | -2.81% | -5.07% | -3.43% | -4.46% |
| International | +0.02% z+0.1 | +0.04% | +0.37% | -0.45% | +0.36% |
| Style | |||||
| Size | -0.82% z-2.4 | +0.46% | +0.10% | +2.08% | +3.29% |
| Liquidity | +0.54% z+2.0 | -0.32% | -0.27% | -0.26% | +1.70% |
| Dividend Yield | -0.26% z-1.5 | -0.11% | -0.66% | -1.28% | -1.54% |
| Leverage | -0.20% z-1.2 | -0.27% | -0.61% | -1.75% | -4.80% |
| Profitability | +0.16% z+0.8 | +0.34% | +0.58% | +1.99% | -0.10% |
| Value | -0.08% z-0.3 | -0.06% | +0.09% | +0.49% | +0.47% |
| Growth | +0.03% z+0.1 | -0.35% | -0.18% | +0.84% | +1.57% |
| Style-Momentum | |||||
| Long-Term Momentum | -1.49% z-2.3 | -0.04% | -1.56% | -0.65% | -3.56% |
| One-Day Momentum | +0.64% z+2.3 | -0.20% | +0.64% | -0.24% | -1.14% |
| Medium-Term Momentum | -0.57% z-2.0 | -0.24% | -0.12% | -0.80% | +1.15% |
| Short-Term Momentum | +0.28% z+0.9 | +0.11% | +0.81% | +1.74% | -5.19% |
| Style-Positioning | |||||
| Hedge-Fund Ownership | +0.21% z+1.9 | -0.10% | +0.22% | +0.18% | -0.11% |
| Short Interest | +0.14% z+0.9 | +0.09% | +0.25% | -0.60% | -1.22% |
| Style-Flow | |||||
| Short-Sale Activity | +0.16% z+1.5 | -0.12% | +0.13% | -0.18% | +0.93% |
| Morning Activity | +0.09% z+0.7 | -0.09% | -0.08% | -1.15% | +1.38% |
| Thematic | |||||
| Treasury (Duration) | +1.00% z+3.1 | -0.27% | +0.46% | -1.20% | -3.10% |
| Semiconductors | -1.45% z-2.4 | -0.55% | -2.85% | -2.49% | -6.97% |
| Oil | -1.07% z-2.3 | -0.11% | -0.87% | -0.36% | +3.86% |
| Gold | +0.45% z+1.4 | +0.01% | +0.63% | -1.14% | +2.62% |
| Bitcoin / Crypto | +0.40% z+1.3 | -0.18% | +0.54% | +0.04% | +2.32% |
| China | +0.36% z+0.9 | +0.01% | +0.19% | +0.58% | +0.63% |
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.
Conditional importance. A factor's relative share of what a tree-based fit of today's stock returns explains; sums to 100% across factors.
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.
Dispersion (realized). Total cross-sectional volatility net of the market component; high dispersion is the flip side of low correlation.
Stock-specific (idiosyncratic) return. The part of a stock's move not explained by the market, style or thematic (industry and theme) factors in the FactorPulse risk model.
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.