Market factor
Square-root-market-cap-weighted mean return of the estimation universe (the intercept of the daily cross-sectional regression); every stock has exposure 1. Part of FactorPulse's FPUS1 model (Market).
Oct 28, 2026
+0.36%
vs. 1-year daily volatility
z = +0.4
1M
+2.07%
3M
+2.21%
YTD
+19.38%
1Y
+20.13%
Last 12 months
Full history
History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.
Statistics
| Period | Return | Volatility (ann.) | Return / risk | Max drawdown |
|---|---|---|---|---|
| 1M | +2.07% | 10.5% | +2.36 | -1.76% |
| 3M | +2.21% | 10.7% | +0.82 | -5.13% |
| YTD | +19.38% | 13.3% | +1.77 | -8.29% |
| 1Y | +20.13% | 13.3% | +1.52 | -8.29% |
| Since Jul 2026 (live) | +2.72% | 10.8% | +0.84 | -5.13% |
| Since 2020 (incl. simulated) | +133.78% | 21.6% | +0.91 | -43.25% |
The market factor is the square-root-cap-weighted average return of the estimation universe, not an index you can buy. Volatility and return/risk are annualized from daily data.
What it moves with
Most positively correlated factors (1 year)
- Beta +0.66
- Gold +0.29
- Short-Sale Activity +0.21
Most negatively correlated factors
- Size -0.32
- Oil -0.28
- Hedge-Fund Ownership -0.13
Correlation with ETFs
| ETF | 1 year | 3 months |
|---|---|---|
| SPY S&P 500 | +0.90 | +0.88 |
| IWM Small caps | +0.94 | +0.92 |
| TLT Long Treasuries | +0.37 | +0.43 |
| USO Oil | -0.41 | -0.52 |
| SMH Semiconductors | +0.65 | +0.55 |
| GLD Gold | +0.46 | +0.52 |
| XLU Utilities | +0.22 | +0.24 |
| BITO Bitcoin futures | +0.48 | +0.38 |
| KWEB China internet | +0.48 | +0.36 |