Crude oil fell nearly 8% to about $96 a barrel after Iran's Supreme Leader, Ayatollah Ali Khamenei, gave his government formal powers to negotiate an end to the war and Donald Trump said a deal could happen. The drop pulled down energy, the best-performing sector of the past year, and the energy fund XLE fell about 4%. Treasury yields extended their monthlong slide, with the 10-year yield slipping to about 4.9%.
The selling spread well beyond oil. Through October, the losses were concentrated in high-beta stocks, those most sensitive to market moves; on Monday they shifted to the past year's biggest winners. The 50 high-beta stocks with the strongest 12-month runs fell about 5%, while the rest of the market rose about 1%. Chip stocks led the decline: the semiconductor fund SMH lost about 3% and chipmaker AMD fell nearly 8%. Last quarter's laggards gained ground, led by the homebuilder fund ITB, up about 5%. The S&P 500 slipped 0.5%, and Wall Street's fear gauge closed at its highest level in about a month. The rotation followed a heavy October retreat by hedge funds: Goldman Sachs's prime brokerage put stock-picking hedge funds' net leverage at a one-year low of 47% as of October 30, and Morgan Stanley's data showed the largest pullback in about a decade.
Oracle, the database and cloud company, fell 9% after filing to sell $10 billion of new stock and $10 billion of bonds to pay for AI data centers. The sale would use up, all at once, the entire $20 billion cap on new financing through fiscal 2030 that Oracle set at its October 28 investor day. Hotel company Marriott rose about 4% after beating third-quarter expectations and raising its full-year outlook. Apple, down nearly 2% in the regular session, was little changed after its report. In John Ternus's first quarter as chief executive, its revenue rose 12% to about $115 billion, above the roughly $113 billion analysts expected, and iPhone sales jumped 17% to nearly $58 billion. Data-analytics company Palantir edged up in late trading after its revenue nearly doubled and its US commercial sales overtook its US government sales.
The top 50 high-beta momentum names fell 5.3% today, their 70th-worst session out of 1,717 since 2020. The rest of the market rose 1.3%, and the S&P 500 closed down 0.5%. The wider high-beta momentum cohort fell 3.3%, so the selling was heaviest in the names that fit the profile most closely.
Splitting the group in two shows what changed. Stocks with a strong 12-month run but ordinary beta fell 2.3%, their 77th-worst day since 2020. Stocks with high beta but no strong run lost only 0.6%. The losses had moved from the most volatile stocks to the past year's winners.
| Series | Ret Pct |
|---|---|
| joint | -3.30 |
| tight50 | -5.25 |
| market | 0.09 |
| rest | 1.28 |
The factor table points the same way. 12-month momentum (Long-Term Momentum in the table) was -1.91% at z=-3.0, the largest return among the style factors. Beta was -1.30% at z=-1.3, after losing 14.4% over the past 20 sessions. Over the past five sessions, Beta explained 23% of stock-level variance, more than any other style factor. Today 12-month momentum explained the most at 16%, and Beta's share fell to 9%. AMD closed down 7.6%, and only 0.6% of that drop was specific to the company.
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Oil | -2.08% | -4.4 | -2.4 | -1.3 | +0.7 | Thematic | Oil-exposed names lagged |
| Long-Term Momentum | -1.91% | -3.0 | -1.8 | -1.9 | -0.4 | Style-Momentum | 12-month winners lagged |
| Liquidity | -0.82% | -3.1 | -1.2 | -0.9 | +0.4 | Style | Lowest-turnover names outperformed |
| Profitability | +0.56% | +2.9 | +1.5 | +1.7 | +0.3 | Style | More profitable names led |
| One-Day Momentum | +0.67% | +2.4 | +2.2 | +0.9 | -1.2 | Style-Momentum | Friday's losers kept falling |
| Semiconductors | -1.42% | -2.3 | -0.9 | -2.1 | -1.0 | Thematic | Chip stocks lagged |
| Residual Volatility | -1.03% | -2.1 | -1.2 | -0.9 | +0.3 | Style-Risk | Most volatile names lagged |
| Beta | -1.30% | -1.3 | -1.2 | -3.3 | -1.5 | Style-Risk | High-beta names lagged |
| Bucket | Avg Ret Pct |
|---|---|
| 1 | -1.55 |
| 2 | 1.73 |
| 3 | 1.45 |
| 4 | 1.67 |
| 5 | 1.17 |
| 6 | 1.12 |
| 7 | 0.60 |
| 8 | 1.27 |
| 9 | 1.25 |
| 10 | 1.24 |
| 11 | 0.89 |
| 12 | 1.24 |
| 13 | 0.89 |
| 14 | 0.65 |
| 15 | 0.35 |
| 16 | 0.11 |
| 17 | -0.75 |
| 18 | -1.88 |
| 19 | -3.08 |
| 20 | -4.21 |
Profitable companies gained: Profitability was +0.56% at z=+2.9, a return in the 99.7th percentile since 2020. The least-traded stocks beat the most heavily traded ones, with Liquidity at -0.82% and z=-3.1. Friday's losers kept falling, with One-Day Momentum at z=+2.4. The index itself explained 0.2% of stock-level variance, so the day was almost entirely stocks moving against each other. The VIX still rose to 21.3, above every close of the past 20 sessions.
| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| ITB | homebuilders | +4.6% | +0.7% | +2.4% | +7.0% | -3.6% |
| KRE | regional banks | +2.4% | -1.2% | -0.6% | +1.7% | -6.0% |
| XLP | consumer staples | +1.7% | +1.4% | +1.3% | +11.0% | +6.1% |
| XLB | materials | +1.7% | +0.4% | +2.8% | +7.9% | +3.9% |
| SPY | S&P 500 | -0.5% | -1.8% | -0.6% | -1.8% | -0.01% |
| QQQ | Nasdaq-100 | -1.4% | -3.5% | -2.0% | -7.9% | -1.3% |
| SMH | semiconductors | -2.9% | -7.0% | -0.9% | -17.1% | -4.2% |
| MTUM | momentum | -3.2% | -4.8% | -1.9% | -12.0% | -5.7% |
| XLE | energy | -3.9% | +1.9% | +1.0% | +11.5% | +19.8% |
| USO | oil | -7.2% | +0.4% | -0.4% | +14.6% | +38.3% |
The funds that fell, chips, energy and the momentum ETF, are the ones that led over the past one to three months. The funds that rose were mostly last quarter's laggards, apart from staples and materials.
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 |
|---|---|---|---|---|---|---|
| Krystal Biotech KRYS | -11.4% | -12.5% | $10B | — | — | Beat, but pipeline readouts pushed to 2027 |
| Marriott International MAR | +4.3% | +3.6% | $104B | +8% | +0.8 pts adj. operating | Q3 beat, raised full-year outlook Bloomberg |
| Idexx Laboratories IDXX | +21.9% | +20.9% | $43B | +10% | +1.0 pts operating | Q3 beat, raised 2026 outlook |
Reported after the close, as of 16:35 ETLate trading from the 4 PM close; same size rule
| Company | Move | Market-adjusted | Market cap | Revenue YoY | Margin YoY | What drove it |
|---|---|---|---|---|---|---|
| Apple AAPL | -1.0% | -1.0% | $5.0T | +12% | -0.5 pts operating | Revenue and iPhone sales beat estimates CNBC |
| Palantir Technologies PLTR | +0.9% | +0.5% | $442B | +96% | +13.6 pts operating | Revenue up 96%, raised full-year guidance MarketWatch |
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.
After the close: moves trade on a fraction of a normal session's volume, so each is an early read. Market-adjusted: the move minus the stock's beta times the S&P 500's late-trading move.
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.
Of the 500 largest companies, 293 have reported (67% of market cap), on day 23 of the season.
How earnings reactions split, day 23 of the seasonThe 500 largest US companies with a confirmed earnings reaction so far (271), vs the same day in the past eight seasons and in four-season stretches back to mid-2020
| Season | ≤ −5σ | −5 to −2σ | −2 to 0σ | 0 to 2σ | 2 to 5σ | ≥ 5σ |
|---|---|---|---|---|---|---|
| This season | 9% | 17% | 27% | 24% | 19% | 4% |
| Past 8 seasons | 16% | 19% | 16% | 16% | 18% | 15% |
| Q2 2026 | 16% | 20% | 16% | 13% | 20% | 15% |
| Q1 2026 | 12% | 20% | 13% | 19% | 19% | 17% |
| Q4 2025 | 17% | 17% | 19% | 14% | 18% | 15% |
| Q3 2025 | 11% | 19% | 19% | 18% | 16% | 17% |
| Q2 2025 | 15% | 21% | 16% | 16% | 15% | 17% |
| Q1 2025 | 20% | 14% | 16% | 20% | 19% | 9% |
| Q4 2024 | 19% | 16% | 17% | 19% | 16% | 13% |
| Q3 2024 | 18% | 19% | 16% | 12% | 18% | 17% |
| Q3 '23–Q2 '24 | 16% | 18% | 16% | 15% | 19% | 17% |
| Q3 '22–Q2 '23 | 12% | 19% | 19% | 18% | 21% | 11% |
| Q3 '21–Q2 '22 | 13% | 19% | 14% | 18% | 23% | 12% |
| Q3 '20–Q2 '21 | 7% | 20% | 29% | 22% | 17% | 4% |
σ: a stock's earnings-day stock-specific move divided by its typical daily stock-specific move over the past year. Each bar is cut at the same business day of the season; companies weighted by the square root of market cap.
WTI crude was at $96.11 at 4:31 PM ET, down 7.7% on the day CNBC. Ayatollah Ali Khamenei gave Iran's government formal powers to negotiate an end to the war, and Donald Trump said a deal could happen Bloomberg. The Oil factor was -2.08% at z=-4.4, the day's largest factor move. SM Energy closed down 7.4%, almost all of it from its oil and style exposures rather than company news. XLE, up 63.6% over the past year and the best of the sector funds, closed down 3.9%.
| Bucket | Avg Ret Pct |
|---|---|
| 1 | 0.74 |
| 2 | 1.72 |
| 3 | 1.93 |
| 4 | 1.33 |
| 5 | 1.20 |
| 6 | 0.88 |
| 7 | 2.06 |
| 8 | 1.05 |
| 9 | 0.67 |
| 10 | 0.56 |
| 11 | 0.77 |
| 12 | 0.13 |
| 13 | 0.33 |
| 14 | 0.67 |
| 15 | -0.32 |
| 16 | -0.62 |
| 17 | -0.71 |
| 18 | -1.14 |
| 19 | -2.43 |
| 20 | -4.69 |
Treasury yields extended the past month's slide as oil fell Bloomberg. The 10-year yield was at 4.92%, down 1.2 basis points CNBC. The 2-year rose 1.9 basis points to 4.60%, so the curve flattened from the long end CNBC. In the two weeks through Friday, the 10-year fell about 17 basis points while oil rose about 4% and chip stocks (SMH) fell about 3%. Yields falling alongside chip stocks while crude rose suggests the bond market was pricing slower growth, not lower inflation.
Oracle closed down 9.1% after filing to sell $10 billion of common stock and $10 billion of senior notes to pay for AI data centers FITCHRATINGS. The raise uses up the whole $20 billion cap on new financing through fiscal 2030 that Oracle set at its October 28 investor day. The notes mature between 2029 and 2046, and the preliminary filing leaves the coupons blank SEC. Oracle is a high-beta 12-month laggard, so on a day that favored laggards its factor exposures alone would have lifted it 1.7%. The entire drop, and more, came from its own news.
Corporate bonds lagged Treasuries for a third straight session: LQD fell 0.1% when the yield move alone pointed to a gain of about 0.1%. Fund prices suggest high-yield spreads widened by roughly 30 basis points over the month through Friday.
Our HF de-risking score is at the 98.1st percentile since 2020 over 20 days and the 97.5th over 10 days. Today's one-day reading was in the 93.9th percentile, driven by 12-month winners falling and the most-shorted names rising. That factor pattern is consistent with a de-gross that is still going. The hedge-fund pain index is 11.3 daily standard deviations below its October 6 peak, the 6th-deepest of 32 such events since 2020. It made a new low today. Three of its eight legs have confirmed a turn: beta, volatility (VIX) and short-sale P&L.
Background: our research note Factor Fingerprints of Hedge Fund Deleveraging Events compares October with 31 hedge-fund deleveraging events since 2020.
| Date | Sigma Vs Peak |
|---|---|
| 20260924 | -1.05 |
| 20260925 | -0.40 |
| 20260928 | -0.97 |
| 20260929 | -0.52 |
| 20260930 | -0.98 |
| 20261001 | -0.37 |
| 20261002 | -0.03 |
| 20261005 | -0.47 |
| 20261006 | 0.00 |
| 20261007 | -0.18 |
| 20261008 | -0.86 |
| 20261009 | -0.62 |
| 20261012 | -1.47 |
| 20261013 | -1.46 |
| 20261014 | -2.82 |
| 20261015 | -4.07 |
| 20261016 | -4.86 |
| 20261019 | -4.55 |
| 20261020 | -5.45 |
| 20261021 | -4.86 |
| 20261022 | -9.42 |
| 20261023 | -9.29 |
| 20261026 | -8.57 |
| 20261027 | -7.57 |
| 20261028 | -6.98 |
| 20261029 | -7.52 |
| 20261030 | -9.36 |
| 20261102 | -11.34 |
Prime brokers' own data described the same episode through Friday. Goldman Sachs Prime Brokerage put US fundamental long/short net leverage at 47%, a one-year low, as of October 30. Morgan Stanley's prime-brokerage data showed the largest de-grossing in about a decade. The high-beta momentum trade took the worst of that late-October selling, and it fell again today. Our hedge-fund-ownership measures were flat both before and after adjusting for other style tilts, so today's losses cannot be pinned on hedge-fund holdings.
Apple closed the regular session down 1.8%. After its report it was down 1.0% at 4:35 PM, then turned to a 0.4% gain by 5:16 PM. Revenue rose 12% to $114.5 billion, above the roughly $113.4 billion expected, in John Ternus's first quarter as chief executive CNBC. iPhone revenue rose 17% to $57.6 billion CNBC. Palantir was up 0.3% in late trading at 5:16 PM after revenue grew 96% and US commercial sales overtook US government sales MarketWatch.
Tuesday brings the US midterm elections, and the October payrolls report follows on Friday Bloomberg. Shopify, Pfizer and Eaton report before Tuesday's open.
Variance decomposition: live intraday — 20261102 session, bracketed against its trailing-year range. Factor returns are trailing through last close. Total cross-sectional dispersion: 89%ile of the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 14%ile style 88%ile thematic 97.2%ile idiosyncratic 22%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): 7.79% 3.1%ile since 2020 · 18%ile 3m
Top-500 pairwise: 8.44% 5.0%ile since 2020 · 21%ile 3m · implied (Cboe COR1M): 14.65 12%ile since 2006 (gap -6.2pp)
Realized 20d vol (ann. pts): all stocks 46 vs VIXEQ 45 · index 11 vs VIX 21 · style factors 26 90%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): -5.2% 4.0%ile · rest of market +1.3%
HF de-risking score (since-2020 rank): 93.9%ile today · 80%ile 5-day · HF pain index 11.3σ below peak (6th-deepest of 32 since 2020), 0% won back · covering plus selling
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Residual Volatility | -1.03% z-2.1 | -0.07% | -1.34% | -2.00% | +1.06% |
| Beta | -1.30% z-1.3 | -3.49% | -2.66% | -14.35% | -11.51% |
| International | +0.04% z+0.1 | -0.01% | -0.34% | -1.27% | -0.40% |
| Style | |||||
| Liquidity | -0.82% z-3.1 | -0.11% | -0.70% | -1.06% | +1.20% |
| Profitability | +0.56% z+2.9 | -0.05% | +0.63% | +1.44% | +1.11% |
| Dividend Yield | -0.32% z-1.8 | -0.10% | -0.15% | +0.01% | +0.04% |
| Value | +0.32% z+1.4 | +0.21% | +0.47% | +0.31% | +0.49% |
| Growth | -0.19% z-0.8 | -0.01% | -0.45% | -0.70% | -0.32% |
| Leverage | -0.13% z-0.8 | +0.20% | +1.10% | +0.34% | -1.92% |
| Size | -0.24% z-0.7 | -0.04% | -1.40% | -1.23% | +2.06% |
| Style-Momentum | |||||
| Long-Term Momentum | -1.91% z-3.0 | -0.55% | -2.53% | -5.33% | -0.94% |
| One-Day Momentum | +0.67% z+2.4 | +0.52% | +1.36% | +1.11% | -1.95% |
| Medium-Term Momentum | +0.18% z+0.6 | +0.49% | -0.27% | -1.00% | -0.90% |
| Short-Term Momentum | +0.13% z+0.4 | -0.29% | -0.12% | +2.25% | +0.05% |
| Style-Positioning | |||||
| Hedge-Fund Ownership | +0.07% z+0.6 | -0.09% | -0.02% | -0.19% | -0.50% |
| Short Interest | +0.04% z+0.3 | +0.25% | +0.08% | +0.61% | -0.46% |
| Style-Flow | |||||
| Morning Activity | -0.21% z-1.7 | +0.19% | -0.20% | -0.43% | +0.02% |
| Short-Sale Activity | +0.14% z+1.3 | +0.04% | +0.22% | +0.39% | +1.10% |
| Thematic | |||||
| Oil | -2.08% z-4.4 | +0.28% | -2.51% | -2.80% | +2.69% |
| Semiconductors | -1.42% z-2.3 | -0.74% | -1.20% | -5.62% | -3.74% |
| Bitcoin / Crypto | -0.56% z-1.8 | -0.38% | -2.51% | -2.14% | +0.46% |
| China | -0.36% z-0.9 | -0.13% | -0.60% | -1.49% | -1.47% |
| Treasury (Duration) | +0.21% z+0.6 | +0.28% | +1.16% | +2.53% | -0.86% |
| Gold | +0.16% z+0.5 | -0.16% | +0.23% | -1.25% | +0.52% |
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.
HF de-risking score. A FactorPulse measure of de-risking in factor returns: the average of four legs, each in its own daily-volatility units and counted only when it moves in the de-risking direction. They are the most-shorted names rising, 12-month momentum winners falling, names crowded in hedge-fund 13F filings falling net of their beta and momentum, and last week's relative moves continuing instead of reverting (counted only alongside another leg). A leg counts as firing at half its daily volatility or more, so a leg can show a small value without firing. Types: A, covering and selling together; B, selling only; C, covering only. Ranked against every session since January 2020. It reads factor returns only, never positions.
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.
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