Consumer prices rose 0.4% in October, a tenth of a point more than forecast. Fed Governor Christopher Waller, who said before the release that more tightening is needed to reach the 2% target, has opened a debate about a half-point rate hike at the Fed's December 8–9 meeting. The two-year Treasury yield is up about 0.2 percentage point to roughly 4.76%, and the 10-year has climbed above 5%. By midday the S&P 500 is down 0.8% and the Nasdaq-100 is down 1.4%.
Higher yields and a stronger dollar pushed gold down about 3%, to near $4,020 an ounce. The gold-miners fund GDX is down about 6%, giving back roughly a third of last week's 16% run, and the silver fund SLV is down about 4%. Homebuilders also took a hit. The homebuilder fund ITB is down about 3% after an 18% climb over the past month, and homebuilder Lennar is down about 5%. The long-term Treasury fund TLT is off about 2%.
Nvidia is down about 6%, wiping out roughly $260 billion of market value, after President Trump confirmed Monday that the FBI is looking into chief executive Jensen Huang's relationship with an alleged Chinese intelligence operative. Stocks most sensitive to market moves, including AI chip, data-center and power names, are trailing the market. AI company Anthropic set its IPO range at $70 to $78 a share, valuing it at up to about $1.4 trillion. High-beta stocks have now trailed steadier stocks by about 10% over the past month, and individual stocks' returns have been more spread out over that stretch than at any time since April 2020. Goldman Sachs reported that stock-picking hedge funds cut back their bets at the fastest weekly pace since the pandemic began, in the week to November 6.
| Factor | Return Today Pct | Z Today | For Long Short Books |
|---|---|---|---|
| One-Day Momentum | 0.28 | 0.99 | |
| Size | 0.32 | 0.91 | |
| Leverage | 0.12 | 0.71 | |
| Value | 0.12 | 0.51 | |
| Hedge-Fund Ownership | 0.05 | 0.41 | |
| Oil | 0.16 | 0.33 | |
| Semiconductors | 0.19 | 0.31 | |
| Long-Term Momentum | 0.18 | 0.28 | |
| Dividend Yield | 0.03 | 0.17 | |
| Medium-Term Momentum | 0.01 | 0.05 | |
| Growth | -0.04 | -0.16 | |
| Short-Sale Activity | -0.02 | -0.19 | |
| Profitability | -0.05 | -0.27 | |
| Bitcoin / Crypto | -0.09 | -0.29 | |
| China | -0.22 | -0.54 | |
| International | -0.18 | -0.61 | |
| Short Interest | -0.11 | -0.66 | |
| Residual Volatility | -0.42 | -0.85 | |
| Liquidity | -0.24 | -0.88 | |
| Short-Term Momentum | -0.37 | -1.21 | right-way |
| Beta | -1.26 | -1.29 | risk-off |
| Treasury (Duration) | -0.55 | -1.69 | |
| Morning Activity | -0.24 | -1.92 | |
| Gold | -0.88 | -2.74 |
October consumer prices rose 0.4% and core prices 0.3%, each a tenth above forecasts BLS. Waller said before the release that further tightening is needed to reach the 2% target Federal Reserve. He also opened a debate about a half-point move at the December 8–9 meeting Bloomberg. Fed funds futures now fully price a quarter-point hike at that meeting and put the odds of a half-point move at 15%, up from near zero. The two-year yield is up 20.8 basis points at 4.755% CNBC. The 10-year is up 15.3 at 5.015%, more than reversing its 12-basis-point decline over the prior ten sessions CNBC. The 30-year is up only 11.7, a bear flattening. The S&P 500 is down 0.8% and the Nasdaq-100 1.4%. The VIX is at 20.8, still well below its November 5 high of 28.18.
| Part | Today Pct | Average Day Pct |
|---|---|---|
| The market | 11.40 | 9.80 |
| Style factors | 23.30 | 24.50 |
| Themes | 4.40 | 2.90 |
| Company-specific | 60.90 | 62.80 |
+0.32% (z +0.9) · bottom Gold 
-0.88% (z -2.7)
| Factor | Return Today Pct | Z Today | Return 63 Sessions Pct | For Long Short Books |
|---|---|---|---|---|
| Hedge-Fund Ownership | 0.05 | 0.41 | 0.20 | |
| Long-Term Momentum | 0.18 | 0.28 | -4.50 | |
| Short-Sale Activity | -0.02 | -0.19 | 0.30 | |
| Short Interest | -0.11 | -0.66 | -0.30 | |
| Short-Term Momentum | -0.37 | -1.21 | -0.30 | right-way |
| Beta | -1.26 | -1.29 | -12.30 | wrong-way |
| Treasury (Duration) | -0.55 | -1.69 | -1.40 | |
| Morning Activity | -0.24 | -1.92 | -0.70 | |
| Gold | -0.88 | -2.74 | 1.00 |
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Gold | -0.88% | -2.7 | +1.6 | +0.0 | +0.4 | Thematic | High gold-beta stocks lagged |
| Morning Activity | -0.24% | -1.9 | -0.8 | -1.7 | -0.7 | Style-Flow | Morning-heavy names lagged |
| Treasury (Duration) | -0.55% | -1.7 | -0.3 | +1.5 | -0.5 | Thematic | Bond-like stocks lagged |
| Beta | -1.26% | -1.3 | -0.8 | -2.4 | -1.6 | Style-Risk | High-beta stocks lagged (wrong-way) |
| Short-Term Momentum | -0.37% | -1.2 | -0.7 | +0.8 | -0.1 | Style-Flow | Last week's moves reversed (right-way) |
| Size | +0.32% | +0.9 | -0.7 | -1.8 | +0.5 | Style | Largest companies led |
| Short Interest | -0.11% | -0.7 | +0.2 | +1.2 | -0.2 | Style-Positioning | Most-shorted lagged |
Stocks that move with gold are lagging the rest of the market by 0.88% (Gold, z=-2.7), on pace for the factor's largest fall since October 22 and its 21st-largest in 1,601 sessions since June 2020. Spot gold is down 2.8% at $4,022.79 as of 12:19 PM ET CNBC. The dollar index is up 0.7% at 102.35 as of 12:20 PM ET CNBC. Gold miners in the top exposure bucket are down 6.0% on a weighted basis. Kinross Gold's 5.7% drop is almost entirely explained by its factor exposures, led by gold. GDX is down 5.7%, giving back about a third of the prior week's run.
| Exposure Group | Today Pct | 5D Scaled Pct | 20D Scaled Pct | 63D Scaled Pct |
|---|---|---|---|---|
| 1 | -2.05 | 0.41 | -1.45 | -2.24 |
| 2 | -1.63 | 0.62 | 0.41 | -0.52 |
| 3 | -1.08 | 0.97 | 1.74 | 0.15 |
| 4 | -0.79 | 1.43 | 1.20 | -0.33 |
| 5 | -0.47 | 0.63 | 0.93 | -0.48 |
| 6 | -0.64 | 1.37 | 1.51 | -0.05 |
| 7 | -0.87 | 0.26 | 0.51 | -0.58 |
| 8 | -0.36 | 1.01 | 1.02 | -0.07 |
| 9 | -0.20 | 0.71 | 0.73 | -0.02 |
| 10 | -0.46 | 0.92 | 0.91 | -0.16 |
| 11 | -0.78 | 0.52 | 0.84 | -0.13 |
| 12 | -1.21 | 0.40 | 0.85 | -0.17 |
| 13 | -0.87 | 0.27 | 0.51 | -0.69 |
| 14 | -0.69 | 0.88 | 1.13 | 0.25 |
| 15 | -0.63 | 0.21 | 0.70 | -0.27 |
| 16 | -0.66 | 0.19 | -0.02 | -0.71 |
| 17 | -1.10 | 0.39 | 0.55 | 0.09 |
| 18 | -1.20 | 0.20 | -0.51 | -1.11 |
| 19 | -2.04 | 1.12 | -0.74 | -1.48 |
| 20 | -4.54 | 3.42 | -0.88 | -0.69 |
The same yield jump is hitting stocks that trade like bonds. They are lagging by 0.55% (Treasury (Duration), z=-1.7). Homebuilders are the clearest case. ITB is down 2.9% after an 18.4% 20-session run, and XHB is trading at 2.0× its typical session pace. Lennar is down 4.8%, 3.5 points of it stock-specific. TLT's 1.7% loss is a little less than the 13-basis-point rise in 20-year yields implies. LQD is down 1.1%, slightly less than seven-year yields alone would explain.
Earnings reactions so far todayReporters worth over $100 billion, or moving more than 10% with a value above $5 billion
| Company | Move | Stock-specific | Market cap | What drove it |
|---|---|---|---|---|
| Hims & Hers Health HIMS | -18.7% | -14.2% | $5B | — |
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.
Of the 500 largest companies, 421 have reported (81% of market cap), on day 29 of the season.
How earnings reactions split, day 29 of the seasonThe 500 largest US companies with a confirmed earnings reaction so far (407), 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 | 8% | 15% | 28% | 24% | 19% | 5% |
| Past 8 seasons | 15% | 19% | 17% | 16% | 17% | 15% |
| Q2 2026 | 14% | 20% | 18% | 16% | 19% | 14% |
| Q1 2026 | 13% | 20% | 13% | 20% | 17% | 17% |
| Q4 2025 | 19% | 16% | 18% | 13% | 20% | 15% |
| Q3 2025 | 11% | 18% | 21% | 18% | 17% | 15% |
| Q2 2025 | 16% | 23% | 14% | 16% | 15% | 16% |
| Q1 2025 | 18% | 17% | 16% | 19% | 19% | 11% |
| Q4 2024 | 17% | 19% | 17% | 16% | 15% | 16% |
| Q3 2024 | 18% | 21% | 15% | 12% | 18% | 17% |
| Q3 '23–Q2 '24 | 16% | 17% | 16% | 15% | 20% | 17% |
| Q3 '22–Q2 '23 | 12% | 19% | 18% | 17% | 22% | 11% |
| Q3 '21–Q2 '22 | 13% | 18% | 15% | 19% | 23% | 13% |
| Q3 '20–Q2 '21 | 6% | 21% | 28% | 23% | 18% | 5% |
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.
High-beta stocks are lagging low-beta stocks by 1.26% (Beta, z=-1.3). That is wrong-way for long-short books, which typically run net long high-beta names. Today's drop puts back in motion a decline that has run for a month: Beta is down 10.27% over 20 sessions (z=-2.4) and 12.28% over 63 (z=-1.6), both wrong-way. The losses are heaviest at the top of the range, where the highest-beta bucket is down 3.9%, including AI chip, data-center and power names. The top 50 high-beta momentum names rose as much as 1.8% by 10:02, then turned to a 3.1% loss at 11:57, while the rest of the market is down 0.7%.
| Time Et | Beta Pct | Note |
|---|---|---|
| 06:31 | -0.08 | |
| 06:44 | -0.12 | |
| 06:58 | -0.14 | |
| 07:12 | -0.19 | |
| 07:26 | -0.22 | |
| 07:40 | -0.36 | |
| 07:54 | -0.49 | |
| 08:08 | -0.50 | |
| 08:22 | -0.54 | |
| 08:36 | -1.04 | down 0.57 points in the 7 minutes around the CPI release |
| 08:50 | -0.96 | |
| 09:04 | -0.96 | |
| 09:18 | -0.93 | |
| 09:32 | -0.70 | |
| 09:46 | -0.13 | |
| 10:00 | 0.42 | |
| 10:03 | 0.64 | the high so far |
| 10:14 | 0.46 | |
| 10:28 | 0.19 | |
| 10:42 | -0.22 | |
| 10:56 | -0.63 | |
| 11:10 | -0.36 | |
| 11:24 | -0.57 | |
| 11:38 | -0.75 | |
| 11:52 | -1.22 | |
| 12:06 | -1.32 | |
| 12:09 | -1.39 | the low so far |
| 12:19 | -1.27 |
Net of the style factors, stocks that trade with chipmakers are slightly ahead (Semiconductors +0.19%, z=+0.3). Growth is flat at -0.04%, and 12-month momentum is up 0.18%. The AI group's losses today are explained by beta exposure and by Nvidia's own news, not by the Semiconductors factor. Nvidia is down 6.3%, erasing $259.6B of market value, and 5.1% of that is stock-specific. President Trump confirmed Monday that the FBI is looking into Huang's relationship with an alleged Chinese intelligence operative Financial Times. Shareholders filed a proposed class action in federal court in San Jose on Monday, alleging Nvidia withheld material risks from investors The Guardian. Nvidia's board announced an independent probe on November 8. SK hynix's 4.3% drop, by contrast, is mostly explained by its factor exposures, led by beta. Anthropic set its IPO range at $70 to $78 a share in an updated prospectus, which the Financial Times said values it at up to $1.4 trillion.
Stocks that habitually do their heaviest trading in the morning, a group that skews retail and international, are lagging by 0.24% (Morning Activity, z=-1.9). That group has trailed for a month, with a 20-day z of -1.7.
| Fund | Ticker | Return Today Pct | Return Prior 20 Sessions Pct | Today In Own Sigma | Volume Pace |
|---|---|---|---|---|---|
| Oil & gas producers · XOP | XOP | 0.68 | -10.40 | 0.36 | 1.73 |
| Semiconductors · SOXX | SOXX | -1.66 | -19.20 | -0.53 | 1.74 |
| Bitcoin futures · BITO | BITO | -2.46 | -9.90 | -0.88 | 1.74 |
| Homebuilders · XHB | XHB | -2.52 | 12.70 | -1.36 | 2.02 |
| High-yield bonds · HYG | HYG | -0.53 | 0.80 | -2.15 | 1.16 |
| Emerging-mkt bonds · EMB | EMB | -0.84 | 2.10 | -2.20 | 1.80 |
| Municipal bonds · MUB | MUB | -0.63 | 4.10 | -2.68 | 0.91 |
| Long Treasuries · TLT | TLT | -1.70 | 5.50 | -2.84 | 1.11 |
| Preferred stock · PFF | PFF | -1.49 | -1.40 | -2.91 | 1.64 |
| Inv.-grade bonds · LQD | LQD | -1.07 | 2.40 | -3.03 | 1.05 |
+0.5% · bottom gold miners (GDX) 
-5.7%| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| GDX | gold miners | -5.7% | +4.4% | +15.6% | +3.3% | +1.5% |
| DRAM | memory chips | -4.1% | +6.3% | -9.8% | -23.7% | -17.9% |
| SLV | silver | -3.9% | +2.7% | +5.6% | -11.4% | -17.8% |
| AIPO | AI power infrastructure | -3.2% | +6.4% | -1.3% | -15.4% | -20.8% |
| ITB | homebuilders | -2.9% | +3.0% | +2.6% | +18.4% | -0.2% |
| SMH | semiconductors | -2.0% | +5.1% | -4.1% | -17.5% | -14.9% |
| TLT | long-term Treasuries | -1.7% | +0.1% | +0.3% | +5.5% | +0.9% |
| SPY | large cap | -0.8% | +2.4% | +0.1% | -3.3% | -2.1% |
| XLP | consumer staples | +0.4% | +0.9% | +0.1% | +7.7% | +8.0% |
| XLF | financials | +0.5% | +1.5% | +0.8% | +5.3% | +0.7% |
Company results drove the largest single-stock moves. Lineage is down 9.2% after the cold-storage REIT cut its 2026 EBITDA guidance in its third-quarter results, released Monday. Embraer is up 8.0% on record third-quarter revenue of $2.35 billion and a full-year free-cash-flow target raised to $700 million or more Morningstar. AAON is up 20.5% after reporting record results and raising guidance on data-center cooling demand. GE Vernova is down 7.1%, a move that is mostly its own. Hims & Hers Health is down 18.7% after reporting results, 14.2 points of it stock-specific.
Realized correlation among stocks over the past 20 sessions has climbed to 17.45%, the highest in three months but only the 38th percentile since 2020. The five-day gauge, at 33.6%, is also at a three-month high. Over 20 sessions, 22% of the variation across stock returns is explained by beta exposure, against 13% by the market itself. Beta's realized volatility of 26.2 points is the highest since April 2020. Dispersion across all stock returns over the same 20 sessions is 52.2 volatility points, also the widest since April 2020. Implied correlation among the 50 largest S&P 500 stocks (Cboe COR1M) is 14.78, in the 12th percentile since 2006. That is 6.8 points below what the largest 500 names realized over the past month.
| Series | Today Pct | Prev Close Pct | Above Pct Of Days | History | Note |
|---|---|---|---|---|---|
| Realized, 500 largest stocks | 21.56 | 20.47 | 42.90 | since 2020 | |
| Realized, all stocks in the model | 17.45 | 17.05 | 38.00 | since 2020 | |
| Implied by options (Cboe COR1M) | 14.78 | 13.23 | 11.97 | since 2006 | |
| Realized, 500 largest stocks, on Jan 20 | 15.19 | 10.08 | one-day rise of 5.1 points. | ||
| Realized, 500 largest stocks, on Mar 31 | 35.16 | 28.49 | one-day rise of 6.7 points. | ||
| Realized, 500 largest stocks, on Jun 5 | 10.88 | 5.86 | one-day rise of 5.0 points. Broadcom and Jobs Data Break Tech Tape | ||
| Realized, 500 largest stocks, on Nov 5 | 19.29 | 8.38 | one-day rise of 10.9 points. AI Selloff Spreads to Whole Market, Sending Nasdaq-100 Down 6% |
Our HF de-risking score is at the 95th percentile since 2020 over 20 sessions. Goldman Sachs Prime Brokerage reported the sharpest weekly drop in US fundamental long/short gross leverage since the pandemic began, in the week to November 6. So far today no de-risking leg is firing; ranks compare with full-day history. The hedge-fund pain index is 11.1 daily standard deviations below its October 6 peak, the third-deepest of 32 such events since 2020. It has won back about 30% of its loss since the November 5 low. Two of its legs are moving back today, though beta is still falling. The most-shorted stocks are trailing the least shorted, and last week's moves are reversing: last week's leaders are lagging last week's laggards by 0.37% (5-day reversion, z=-1.2), right-way for long-short books. Seven past rallies won back 46% to 71% of the loss before a fresh low.
Background: our research note Factor Fingerprints of Hedge Fund Deleveraging Events compares October with 31 hedge-fund deleveraging events since 2020.
| Session | Sigma Vs Peak | Note |
|---|---|---|
| 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 | −4.6σ on the day. Chip Stocks Fall With Yields as AI Credit Spreads Widen |
| 20261023 | -9.29 | |
| 20261026 | -8.57 | |
| 20261027 | -7.57 | |
| 20261028 | -6.98 | |
| 20261029 | -7.52 | |
| 20261030 | -9.36 | |
| 20261102 | -11.38 | −2.0σ on the day. Oil Falls Below $100 on Iran Peace Hopes, and Last Year's Winners Tumble |
| 20261103 | -10.18 | |
| 20261104 | -12.77 | −2.6σ on the day. AI Builders Fall on Voter Backlash Against Data Centers |
| 20261105 | -15.86 | −3.1σ on the day. AI Selloff Spreads to Whole Market, Sending Nasdaq-100 Down 6% |
| 20261106 | -13.92 | |
| 20261109 | -11.57 | +2.3σ on the day. High-Beta Stocks Jump 8% as Nvidia Falls 4% on Huang Probe |
| 20261110 | -11.13 | |
| leg: beta | -12.01 | turned Oct 27, new low Nov 5 |
| leg: 12-month momentum | -8.94 | no turn yet |
| leg: short-interest P&L | -5.66 | turned Nov 9 |
| leg: volatility (VIX) | -4.71 | turned Oct 21, new low Nov 5 |
| leg: weekly reversal | -3.71 | turned Nov 9 |
| leg: crowding (13F) | 3.85 | turned Nov 4 |
| flow gauge, not in the index: 1-day reversal | -7.28 | turned Nov 4, new low Nov 10 |
| flow gauge, not in the index: short-sale P&L | 3.07 | turned Oct 28, new low Nov 2 |
CoreWeave, one of the highest-beta AI infrastructure names, reports after the close.
The Consumer Price Index, released at 8:30 AM ET, showed prices up 0.4% in October and core prices up 0.3%, both above consensus bls.gov. The BLS did not publish 12-month changes because of data gaps from the October 2025 shutdown BLS. The New York Fed's Consumer Credit Panel, released at 11:00 AM ET, showed household debt up $334 billion to $19.1 trillion in the third quarter, with the aggregate delinquency rate at 5.0%.
+2.34% · bottom Beta 
-10.27%Variance decomposition: live as of 12:19 PM ET in the Nov 10 session, compared with each factor's range over the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 74%ile style 64%ile thematic 79%ile idiosyncratic 30%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): 17.45% 38%ile since 2020 · 100.0%ile 3m
Top-500 pairwise: 21.56% 43%ile since 2020 · 100.0%ile 3m · implied (Cboe COR1M): 14.78 12%ile since 2006 (gap +6.8pp)
Realized 20d vol (ann. pts): all stocks 56 vs VIXEQ 44 · index 20 vs VIX 21 · style factors 32 98.7%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 11:58 ET
Top 50 high-beta momentum names (eq-wt, since-2020 rank): -2.8% 14%ile · rest of market -0.7%
HF de-risking score (since-2020 rank so far today): 0.0%ile today · 65%ile 5-day · HF pain index 11.1σ below peak (3rd-deepest of 32 since 2020), 30% won back
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Beta | -1.26% z-1.3 | +2.65% | -1.81% | -10.27% | -13.15% |
| Residual Volatility | -0.42% z-0.8 | +0.25% | -1.37% | -3.13% | -1.15% |
| International | -0.18% z-0.6 | -0.45% | +0.28% | -1.29% | -0.24% |
| Style | |||||
| Size | +0.32% z+0.9 | -0.34% | -0.54% | -2.81% | +1.73% |
| Liquidity | -0.24% z-0.9 | -0.57% | -1.47% | -2.26% | -1.67% |
| Leverage | +0.12% z+0.7 | +0.09% | -0.10% | +0.44% | -1.83% |
| Value | +0.12% z+0.5 | -0.07% | -0.70% | -1.11% | -0.65% |
| Profitability | -0.05% z-0.3 | +0.11% | -0.14% | +0.75% | +1.08% |
| Dividend Yield | +0.03% z+0.2 | -0.03% | -0.87% | -0.92% | -1.65% |
| Growth | -0.04% z-0.2 | +0.02% | -1.42% | -2.58% | -2.09% |
| Style-Momentum | |||||
| Long-Term Momentum | +0.18% z+0.3 | +0.35% | -2.46% | -6.73% | -6.07% |
| Medium-Term Momentum | +0.01% z+0.1 | +0.05% | +1.04% | -0.99% | -0.13% |
| Style-Positioning | |||||
| Short Interest | -0.11% z-0.7 | -0.41% | +0.06% | +0.93% | +0.09% |
| Hedge-Fund Ownership | +0.05% z+0.4 | -0.04% | +0.47% | +0.29% | +0.09% |
| Style-Flow | |||||
| Morning Activity | -0.24% z-1.9 | -0.10% | -0.22% | -0.94% | -0.71% |
| Short-Term Momentum | -0.37% z-1.2 | -0.33% | -0.48% | +1.02% | +0.41% |
| One-Day Momentum | +0.28% z+1.0 | +0.62% | +1.42% | +2.34% | -0.19% |
| Short-Sale Activity | -0.02% z-0.2 | +0.01% | -0.51% | -0.35% | +0.06% |
| Thematic | |||||
| Gold | -0.88% z-2.7 | -0.40% | +1.13% | +0.05% | +0.87% |
| Treasury (Duration) | -0.55% z-1.7 | +0.19% | -0.24% | +2.13% | -1.14% |
| China | -0.22% z-0.5 | +0.03% | +0.47% | -0.58% | -0.18% |
| Oil | +0.16% z+0.3 | -0.51% | -3.17% | -6.25% | -2.45% |
| Semiconductors | +0.19% z+0.3 | +0.77% | -3.26% | -6.14% | -9.07% |
| Bitcoin / Crypto | -0.09% z-0.3 | -0.56% | -0.38% | -2.54% | -0.34% |
5/20/60d windows include today's session; 1d is the previous session.
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.
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.
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.
← FactorPulse · All Digests · Follow us on X
FactorPulse is free during launch · Sign up free (no credit card)