One-Day Momentum factor
The stock's return on the previous trading day. Part of FactorPulse's FPUS1 model (Style).
The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity, Growth, Value, Leverage, Profitability, Dividend Yield, Short Interest, Hedge-Fund Ownership, Medium-Term Momentum and Short-Term Momentum (position 16 of 18 style factors).
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 | -0.15% | 3.8% | -0.46 | -0.61% |
| 3M | -3.54% | 4.4% | -3.25 | -4.36% |
| YTD | +1.76% | 5.5% | +0.39 | -4.42% |
| 1Y | +2.34% | 5.1% | +0.46 | -4.42% |
| Since Jul 2026 (live) | -2.61% | 5.4% | -1.63 | -4.42% |
| Since 2020 (incl. simulated) | -15.11% | 4.8% | -0.46 | -28.26% |
Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.
Large companies most and least exposed today
Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, 1-day moves trend; when it is negative, 1-day moves reverse.
Highest exposure
- GE HealthCare Technologies Inc. GEHC +3.76 · $34B
- Labcorp Holdings Inc. LH +3.51 · $29B
- Genmab A/S ADS GMAB +2.84 · $35B
- Honeywell Aerospace Inc. HONA +2.72 · $56B
- Oracle Corp ORCL +2.65 · $438B
- Aon plc AON +2.56 · $67B
- SK hynix Inc. SKHY +2.39 · $1.2T
- PPG Industries, Inc. PPG +2.33 · $26B
- Celestica, Inc. CLS +2.31 · $38B
- Vertiv Holdings Co VRT +2.26 · $94B
Lowest exposure
- Cerebras Systems Inc. CBRS -3.52 · $27B
- Teradyne, Inc. TER -3.22 · $49B
- United Microelectronic Corp. UMC -3.14 · $47B
- Banco Bradesco S.A. BBD -3.00 · $31B
- ON Semiconductor Corp ON -2.99 · $29B
- Dell Technologies Inc. DELL -2.97 · $314B
- Fortinet, Inc. FTNT -2.91 · $128B
- Banco Santander (Brasil) Sa BSBR -2.76 · $34B
- Banco Santander S.A. SAN -2.67 · $169B
- Itau Unibanco Holding S.A. ITUB -2.48 · $82B
What it moves with
Most positively correlated factors (1 year)
- Short Interest +0.21
- Medium-Term Momentum +0.18
- Residual Volatility +0.13
Most negatively correlated factors
- Gold -0.12
- Market -0.10
- Semiconductors -0.10
Correlation with ETFs
| ETF | 1 year | 3 months |
|---|---|---|
| SPY S&P 500 | -0.08 | +0.16 |
| IWM Small caps | -0.12 | +0.25 |
| TLT Long Treasuries | -0.03 | +0.15 |
| USO Oil | +0.14 | +0.03 |
| SMH Semiconductors | -0.06 | +0.21 |
| GLD Gold | -0.10 | +0.27 |
| XLU Utilities | -0.06 | +0.09 |
| BITO Bitcoin futures | -0.05 | +0.17 |
| KWEB China internet | -0.12 | -0.02 |