Chipmaker Nvidia fell 4.5%, losing $176 billion in market value, after co-founder Jensen Huang resigned immediately as chief executive, president and director following 33 years running the company. Nvidia disclosed in an 8:50 a.m. regulatory filing that chief financial officer Colette Kress stepped in as interim chief executive and veteran director Harvey C. Jones became its first independent board chair. Nvidia's board hired an outside firm to search for a permanent chief following an investigation into personal relationships that prompted Democratic Senators Elizabeth Warren and Chris Coons to ask the administration to preserve export-control records on Chinese artificial-intelligence chip shipments. Nvidia shares pared an early drop of more than 13% as investors moved money into competing chipmakers. Nvidia's 4.5% drop on Jensen Huang's resignation was offset inside chip benchmarks by gains of 5.5% in chipmaker Broadcom and 5.8% in rival Advanced Micro Devices, leaving the SOXX semiconductor fund down 0.3%. AI cloud provider Nebius Group sank 17.1% after cutting cloud revenue guidance and flagging higher capital spending.
West Texas Intermediate crude oil climbed 2.8% to $89 a barrel, raising inflation worries across global bond markets. Two-year Treasury yields rose 15 basis points to 4.88% and the 10-year yield gained 14 basis points to 5.13% ahead of the Federal Reserve's December 8-9 policy meeting. Weekly jobless claims rose to 200,000 and October existing home sales fell to their slowest pace since 2010, though Tuesday's 0.4% October consumer-price increase kept bond yields climbing. Higher yields lifted the US dollar index to a 2026 high of 103.2 and pulled gold down to $3,874 an ounce, sending the GLD gold bullion fund down 2.8% to its lowest level in more than a year. Bitcoin fell 4.2% to $71,356, and the Russell 2000 dropped 1.6% against a 0.4% slip for the S&P 500.
Smaller borrowers, crypto miners and Chinese internet companies took the steepest losses as higher borrowing costs weighed on rate-sensitive shares. Chinese e-commerce company Alibaba fell 7.0% on fears that Nvidia's leadership change will bring tighter US restrictions on AI chip exports to China, and agricultural chemical maker Corteva dropped 23.8% after cutting its full-year profit outlook on weak Brazilian farm demand. The WGMI crypto-mining fund slid 5.1% and AI data-center operator CoreWeave lost 6.8%. A FactorPulse gauge of hedge-fund losses has now won back 48% of its autumn drop since its November 5 low, with seven of its 8 components having turned higher.
| Factor | Return Today Pct | Z Today | For Long Short Books |
|---|---|---|---|
| Size | 0.77 | 2.23 | |
| Dividend Yield | 0.19 | 1.09 | |
| Oil | 0.52 | 1.07 | |
| One-Day Momentum | 0.30 | 1.06 | |
| Semiconductors | 0.63 | 1.02 | |
| Growth | 0.22 | 0.91 | |
| Value | 0.16 | 0.68 | |
| Profitability | 0.13 | 0.68 | |
| Long-Term Momentum | 0.33 | 0.52 | |
| Short-Sale Activity | 0.05 | 0.49 | |
| Bitcoin / Crypto | -0.02 | -0.07 | |
| Short-Term Momentum | -0.05 | -0.16 | |
| Hedge-Fund Ownership | -0.03 | -0.28 | |
| International | -0.09 | -0.31 | |
| Residual Volatility | -0.17 | -0.35 | |
| Leverage | -0.09 | -0.56 | |
| Morning Activity | -0.08 | -0.67 | |
| Beta | -0.76 | -0.78 | |
| China | -0.41 | -1.01 | |
| Gold | -0.42 | -1.31 | |
| Short Interest | -0.28 | -1.66 | right-way |
| Treasury (Duration) | -0.61 | -1.88 | |
| Liquidity | -0.51 | -1.91 | |
| Medium-Term Momentum | -0.63 | -2.20 |
| Factor | Return Today Pct | Today In Sigma | Rank Among Comparable Days |
|---|---|---|---|
| Size | 0.77 | 2.23 | second-highest of 101 |
| Treasury (Duration) | -0.61 | -1.89 | second-lowest of 101 |
| Medium-Term Momentum | -0.63 | -2.20 | third-lowest of 101 |
| Liquidity | -0.51 | -1.91 | third-lowest of 101 |
| Short Interest | -0.28 | -1.66 | fourth-lowest of 101 |
Nvidia fell 4.5%, including a 4.4% stock-specific drop, after Jensen Huang resigned immediately as president, CEO and director. The Wall Street Journal A Form 8-K named CFO Colette Kress interim CEO, appointed Harvey C. Jones the first independent chair and disclosed an outside search, putting Kress over ecosystem funding ahead of Tuesday's November 17 earnings report, Bernstein noted. Broadcom rose 5.5% and AMD gained 5.8%, offsetting that 4.5% drop on Huang's resignation inside chip benchmarks and leaving the iShares Semiconductor ETF (SOXX) down 0.3%.
Nebius Group sank 17.1% on lowered Neocloud revenue guidance and rising capital expenditure intensity, while China export-curb headlines hit memory and equipment stocks. Bloomberg Sens. Elizabeth Warren and Chris Coons asked the administration to preserve export-control records on Chinese AI chip shipments, and Sen. Tom Cotton urged Commerce Secretary Howard Lutnick to put Chinese memory maker ChangXin Memory Technologies on the Entity List. CNBC
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 | What drove it |
|---|---|---|---|---|
| Corteva CTVA | -23.8% | -21.8% | $8B | Q3 miss and slashed outlook on Brazil downturn |
| Nebius NBIS | -17.1% | -12.7% | $42B | Lowered Neocloud revenue outlook and higher capex |
| Mobility Global MBGL | +15.5% | +15.8% | $6B | Gained following Q3 morning earnings report |
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, 429 have reported (82% of market cap), on day 31 of the season.
How earnings reactions split, day 31 of the seasonThe 500 largest US companies with a confirmed earnings reaction so far (412), 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% | 18% |
| Q4 2025 | 18% | 16% | 17% | 14% | 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 | 18% | 18% | 17% | 16% | 15% | 16% |
| Q3 2024 | 17% | 20% | 15% | 12% | 18% | 17% |
| Q3 '23–Q2 '24 | 16% | 18% | 16% | 15% | 20% | 17% |
| Q3 '22–Q2 '23 | 12% | 19% | 19% | 17% | 22% | 11% |
| Q3 '21–Q2 '22 | 13% | 18% | 15% | 18% | 23% | 13% |
| Q3 '20–Q2 '21 | 6% | 21% | 28% | 23% | 17% | 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.
West Texas Intermediate crude rose 2.8%, stoking inflation concerns across global bond markets. Two-year Treasury yields jumped 15.2 basis points and the 10-year yield reached 5.13%, lifting the US dollar to a 2026 high and sending the SPDR Gold Shares ETF (GLD) down 2.8% to its lowest level in more than a year. The Wall Street Journal
The orthogonal Treasury (Duration) factor fell 0.61%, a 1.9-sigma drop, while corporate bond ETFs indicated that risk-free rates rather than credit spreads carried the move. Biotech stocks led declines in the vigintile of equities most sensitive to Treasury prices, which dropped 3.36%.
| Row | Stocks | Return Pct | Note |
|---|---|---|---|
| Treasury (Duration) factor return | -0.61 | −1.9σ | |
| Group 1 of 20 | 102 | -1.63 | least exposed |
| Group 20 of 20 | 102 | -3.36 | most exposed |
| Microsoft (MSFT) | 0.40 | large company, least exposed group | |
| Alphabet (GOOGL) | 1.89 | large company, least exposed group | |
| Amazon Com (AMZN) | 0.46 | large company, least exposed group | |
| Space Exploration (SPCX) | 0.37 | large company, least exposed group | |
| Accenture (ACN) | -1.43 | large company, most exposed group | |
| Carvana (CVNA) | -3.99 | large company, most exposed group | |
| Estee Lauder Companies (EL) | -1.63 | large company, most exposed group | |
| Gold Fields (GFI) | -4.74 | large company, most exposed group | |
| Group 2 of 20 | -1.03 | ||
| Group 3 of 20 | -1.07 | ||
| Group 4 of 20 | -1.75 | ||
| Group 5 of 20 | -1.32 | ||
| Group 6 of 20 | -1.08 | ||
| Group 7 of 20 | -1.39 | ||
| Group 8 of 20 | -1.31 | ||
| Group 9 of 20 | -0.99 | ||
| Group 10 of 20 | -1.21 | ||
| Group 11 of 20 | -1.31 | ||
| Group 12 of 20 | -1.91 | ||
| Group 13 of 20 | -1.27 | ||
| Group 14 of 20 | -1.39 | ||
| Group 15 of 20 | -1.76 | ||
| Group 16 of 20 | -1.42 | ||
| Group 17 of 20 | -1.89 | ||
| Group 18 of 20 | -2.50 | ||
| Group 19 of 20 | -2.16 | ||
| Average stock | 2040 | -1.59 |
The Size factor gained 0.77%, a 2.2-sigma move, as small-cap stocks sold off sharply. The smallest vigintile of companies by market value fell 3.91%, giving the factor its 14th-largest rise in 1,601 sessions since July 2020 and its biggest since April 8, 2025.
| Row | Stocks | Return Pct | Note |
|---|---|---|---|
| Size factor return | 0.77 | +2.2σ; largest rise since Apr 8, 2025 | |
| Group 1 of 20 | 102 | -3.91 | least exposed |
| Group 20 of 20 | 102 | -0.54 | most exposed |
| PagSeguro Digital (PAGS) | -1.57 | large company, least exposed group | |
| Pony AI (PONY) | -5.95 | large company, least exposed group | |
| Globant S A (GLOB) | -1.23 | large company, least exposed group | |
| StoneCo (STNE) | -0.35 | large company, least exposed group | |
| Apple (AAPL) | -0.17 | large company, most exposed group | |
| Nvidia (NVDA) | -4.07 | large company, most exposed group | |
| Microsoft (MSFT) | 0.40 | large company, most exposed group | |
| Alphabet (GOOGL) | 1.89 | large company, most exposed group | |
| Group 2 of 20 | -2.65 | ||
| Group 3 of 20 | -2.56 | ||
| Group 4 of 20 | -2.18 | ||
| Group 5 of 20 | -1.74 | ||
| Group 6 of 20 | -1.67 | ||
| Group 7 of 20 | -1.75 | ||
| Group 8 of 20 | -1.14 | ||
| Group 9 of 20 | -1.75 | ||
| Group 10 of 20 | -1.44 | ||
| Group 11 of 20 | -1.45 | ||
| Group 12 of 20 | -1.32 | ||
| Group 13 of 20 | -1.48 | ||
| Group 14 of 20 | -1.34 | ||
| Group 15 of 20 | -1.08 | ||
| Group 16 of 20 | -1.03 | ||
| Group 17 of 20 | -1.23 | ||
| Group 18 of 20 | -0.79 | ||
| Group 19 of 20 | -0.73 | ||
| Average stock | 2040 | -1.59 |
Medium-Term Momentum fell 0.63% for a matching 2.2-sigma reversal, its 32nd-largest drop since July 2020 and steepest since October 27. Prior decliners did not bounce, while stocks in the top one-month momentum vigintile fell 2.62%.
Heavily shorted stocks trailed again, pulling the Short Interest factor down 0.28% today and 1.37% over five sessions in right-way moves for a typical long-short hedge-fund book. The hedge-fund pain index remains 8.3 daily standard deviations below its October 6 peak, though it has won back 48% of its loss since November 5 with seven of its 8 legs confirming a turn.
| 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 | |
| 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 | -10.87 | |
| 20261111 | -8.77 | +2.1σ on the day. Nvidia Tumbles 8.5% After Hours Despite AI Chip Rally |
| 20261112 | -8.32 | |
| leg: beta | -10.92 | turned Oct 27, new low Nov 5 |
| leg: 12-month momentum | -7.75 | no turn yet |
| leg: volatility (VIX) | -3.47 | turned Oct 21, new low Nov 5 |
| leg: short-interest P&L | -2.98 | turned Nov 9 |
| leg: weekly reversal | -0.86 | turned Nov 9 |
| leg: crowding (13F) | 3.09 | turned Nov 4 |
| flow gauge, not in the index: 1-day reversal | -8.79 | turned Nov 4, new low Nov 12 |
| flow gauge, not in the index: short-sale P&L | 3.04 | turned Oct 28, new low Nov 2 |
Our 1-day hedge-fund de-risking score stands at the 39.3rd percentile against full-day history since 2020 with no legs firing, a factor profile consistent with funds adding risk back rather than cutting it. US long-short hedge funds held net leverage at 42% as of November 6 in Morgan Stanley prime brokerage data, while trend-following CTAs stood net short Nasdaq momentum as of November 11 in UBS models.
Background: our research note Factor Fingerprints of Hedge Fund Deleveraging Events compares October with 31 hedge-fund deleveraging events since 2020.
Twenty-day realized pairwise correlation among the 500 largest stocks rose to 22.0% after the past month's macro and AI shocks, reaching the 100th percentile of trailing three-month closes. The Cboe 1-Month Implied Correlation Index sits 11.7 percentage points lower at 10.29, in the lowest 4.8% of its history since 2006. Options continue to price a variance-risk-premium discount and wide single-stock dispersion, with the Cboe S&P 500 Dispersion Index at 38.85.
| Series | Today Pct | Prev Close Pct | Above Pct Of Days | History | Note |
|---|---|---|---|---|---|
| Realized, 500 largest stocks | 22.00 | 21.61 | 44.00 | since 2020 | |
| Realized, all stocks in the model | 17.33 | 17.30 | 37.60 | since 2020 | |
| Implied by options (Cboe COR1M) | 10.29 | 9.79 | 4.76 | since 2006 | |
| Realized, 500 largest stocks, on Jun 11, 2020 | 46.70 | 32.79 | one-day rise of 13.9 points. | ||
| Realized, 500 largest stocks, on Apr 9, 2025 | 72.28 | 56.19 | one-day rise of 16.1 points. | ||
| Realized, 500 largest stocks, on Oct 10, 2025 | 17.82 | 6.33 | one-day rise of 11.5 points. | ||
| 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% |
| Part | Today Pct | Average Day Pct |
|---|---|---|
| The market | 17.10 | 9.80 |
| Style factors | 19.70 | 24.60 |
| Themes | 2.20 | 2.90 |
| Company-specific | 61.00 | 62.70 |
+0.77% (z +2.2) · bottom Medium-Term Momentum 
-0.63% (z -2.2)
| Factor | Return Today Pct | Z Today | Return 63 Sessions Pct | For Long Short Books |
|---|---|---|---|---|
| Size | 0.77 | 2.23 | 2.70 | |
| Long-Term Momentum | 0.33 | 0.52 | -3.80 | |
| Short-Sale Activity | 0.05 | 0.49 | 0.20 | |
| Short-Term Momentum | -0.05 | -0.16 | -0.90 | |
| Hedge-Fund Ownership | -0.03 | -0.28 | 0.10 | |
| Beta | -0.76 | -0.78 | -10.80 | |
| Short Interest | -0.28 | -1.66 | -0.70 | right-way |
| Liquidity | -0.51 | -1.91 | -1.40 | |
| Medium-Term Momentum | -0.63 | -2.20 | -1.10 |
| Factor | Return | Z-Score | 5d Z | 20d Z | 63d Z | Category | Direction |
|---|---|---|---|---|---|---|---|
| Size | +0.77% | +2.2 | +0.8 | -0.9 | +1.0 | Style | Largest companies outperformed smallest |
| Medium-Term Momentum | -0.63% | -2.2 | -2.4 | -0.9 | -0.5 | Style-Momentum | 1-month decliners outperformed 1-month winners |
| Treasury (Duration) | -0.61% | -1.9 | -1.4 | +0.6 | -0.6 | Thematic | Stocks that move with long-dated Treasury prices underperformed |
| Liquidity | -0.51% | -1.9 | -0.7 | -1.9 | -0.6 | Style | Lowest-turnover names outperformed highest-turnover, most-liquid names |
| Short Interest | -0.28% | -1.7 | -3.6 | +0.1 | -0.5 | Style-Positioning | Most heavily shorted stocks underperformed least shorted |
| Oil | +0.52% | +1.1 | +0.8 | -1.8 | -0.2 | Thematic | Stocks with high oil beta outperformed |
| Hedge-Fund Ownership | -0.03% | -0.3 | -0.5 | +0.2 | +0.1 | Style-Positioning | Stocks with heavier hedge-fund ownership underperformed |
| Fund | Ticker | Return Today Pct | Return Prior 20 Sessions Pct | Today In Own Sigma | Volume Pace |
|---|---|---|---|---|---|
| Japan · EWJ | EWJ | -0.70 | -3.90 | -0.50 | 1.72 |
| Real estate · VNQ | VNQ | -0.60 | 7.40 | -0.67 | 2.85 |
| Defense · ITA | ITA | -2.10 | 7.60 | -1.39 | 3.18 |
| Gold · GLD | GLD | -2.82 | -2.90 | -1.55 | 1.70 |
| China internet · KWEB | KWEB | -3.18 | -3.40 | -1.90 | 1.74 |
| Emerging-mkt bonds · EMB | EMB | -0.81 | 1.40 | -2.12 | 1.75 |
| Preferred stock · PFF | PFF | -1.16 | -1.60 | -2.24 | 1.36 |
| Long Treasuries · TLT | TLT | -1.46 | 3.00 | -2.41 | 1.48 |
| Inv.-grade bonds · LQD | LQD | -0.87 | 1.70 | -2.45 | 0.77 |
| Municipal bonds · MUB | MUB | -0.82 | 3.40 | -3.45 | 1.48 |
+3.3% · bottom bitcoin miners & AI hosting (WGMI) 
-5.1%| ETF | Theme | Today | 1d Ago | 5d Ago | 20d Ago | 63d Ago |
|---|---|---|---|---|---|---|
| USO | oil | +3.3% | +0.01% | -2.7% | -7.9% | +13.2% |
| SOXX | semiconductors | -0.3% | +6.0% | +3.5% | -10.2% | -15.3% |
| SPY | large cap | -0.4% | +1.3% | -0.9% | -1.3% | -2.1% |
| TLT | long-term bonds | -1.5% | +0.1% | -1.0% | +3.0% | -0.8% |
| IWM | small cap | -1.6% | +0.9% | -0.3% | +4.3% | -6.5% |
| DRAM | memory chips & storage | -2.7% | +10.4% | -0.6% | -10.5% | -21.2% |
| GLD | gold | -2.8% | -1.1% | -2.0% | -2.9% | -8.5% |
| KWEB | china | -3.2% | -1.6% | -2.7% | -3.4% | -11.8% |
| BITO | crypto | -4.3% | +1.3% | -7.0% | -8.8% | +16.4% |
| WGMI | bitcoin miners & AI hosting | -5.1% | +8.8% | +8.3% | -14.1% | -38.6% |
Initial jobless claims released at 8:30 AM ET rose 9,000 to 200,000 for the week ended November 7, topping the 195,000 consensus while the four-week moving average held at 195,250 Labor Department. Existing home sales from the National Association of Realtors at 10:00 AM ET fell in October to the slowest annualized pace since 2010 as high mortgage rates kept inventory scarce, even as the median October price hit an all-time high. Rate markets weighed both softer activity prints against Tuesday's 0.4% rise in the October Consumer Price Index BLS. Federal Reserve Vice Chair Michelle Bowman cited disappointing progress on inflation and broadening price pressures at the Council on Foreign Relations, and Governor Christopher Waller earlier flagged a potential 50 bps hike ahead of the December 8-9 FOMC meeting, 27 days away Federal Reserve.
+2.35% · bottom Beta 
-5.45%Variance decomposition: live as of the Nov 12 session, compared with each factor's range over the past year. Total cross-sectional dispersion is higher than on only 45% of days in the past year.
Variance mix — % of total, today vs 1d ago vs 1-yr avg
market 84%ile style 55%ile thematic 45%ile idiosyncratic 31%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
Realized correlation, 500 largest stocks (20d): 22.00% 44%ile since 2020 · 100.0%ile 3m · implied (Cboe COR1M): 10.29 4.8%ile since 2006 (gap +11.7pp)
All stocks in the model: 17.33% 38%ile since 2020 · 100.0%ile 3m
Realized 20d vol (ann. pts): all stocks 56 vs VIXEQ 43 · index 20 vs VIX 19 · style factors 32 98.4%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 15:58 ET
High-beta momentum cohort (eq-wt, since-2020 rank): -1.9% 17%ile · rest of market -1.2%
HF de-risking score (since-2020 rank so far today): 39%ile today · 36%ile 5-day · HF pain index 8.3σ below peak (3rd-deepest of 32 since 2020), 48% won back
| Factor | Today | 1d | 5d | 20d | 60d |
|---|---|---|---|---|---|
| Style-Risk | |||||
| Beta | -0.76% z-0.8 | +1.86% | +5.45% | -5.45% | -8.11% |
| Residual Volatility | -0.17% z-0.3 | +0.89% | +1.18% | -2.31% | -0.79% |
| International | -0.09% z-0.3 | -0.25% | -1.12% | -1.73% | -0.93% |
| Style | |||||
| Size | +0.77% z+2.2 | +0.16% | +0.66% | -1.47% | +2.75% |
| Liquidity | -0.51% z-1.9 | +0.71% | -0.43% | -2.25% | -1.56% |
| Dividend Yield | +0.19% z+1.1 | +0.14% | +0.29% | -0.25% | -1.28% |
| Growth | +0.22% z+0.9 | +0.43% | +0.77% | -1.55% | -1.11% |
| Value | +0.16% z+0.7 | +0.34% | -0.08% | -0.47% | +0.03% |
| Profitability | +0.13% z+0.7 | +0.23% | -0.18% | +0.59% | +1.83% |
| Leverage | -0.09% z-0.6 | +0.24% | +0.30% | +1.09% | -1.39% |
| Style-Momentum | |||||
| Medium-Term Momentum | -0.63% z-2.2 | -0.36% | -1.53% | -1.16% | -2.17% |
| Long-Term Momentum | +0.33% z+0.5 | +0.50% | +1.70% | -4.21% | -3.07% |
| Style-Positioning | |||||
| Short Interest | -0.28% z-1.7 | -0.25% | -1.37% | +0.12% | -1.41% |
| Hedge-Fund Ownership | -0.03% z-0.3 | -0.04% | -0.12% | +0.09% | -0.38% |
| Style-Flow | |||||
| One-Day Momentum | +0.30% z+1.1 | +0.23% | +1.65% | +2.35% | +0.43% |
| Morning Activity | -0.08% z-0.7 | -0.24% | -0.66% | -1.23% | -1.86% |
| Short-Sale Activity | +0.05% z+0.5 | +0.05% | +0.01% | -0.40% | -0.16% |
| Short-Term Momentum | -0.05% z-0.2 | -1.00% | -2.53% | -0.49% | +0.09% |
| Thematic | |||||
| Treasury (Duration) | -0.61% z-1.9 | +0.07% | -1.03% | +0.88% | -2.14% |
| Gold | -0.42% z-1.3 | -0.43% | -1.83% | -1.33% | -1.55% |
| Oil | +0.52% z+1.1 | +0.60% | +0.82% | -3.96% | -1.73% |
| Semiconductors | +0.63% z+1.0 | +1.25% | +4.31% | -1.98% | -3.99% |
| China | -0.41% z-1.0 | -0.01% | -0.39% | -1.42% | -0.86% |
| Bitcoin / Crypto | -0.02% z-0.1 | +0.10% | -0.91% | -2.61% | -0.57% |
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.
Factor z-score. Today's factor return divided by its daily-return standard deviation over ~1,600 trading days.
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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