20/10/2026
Factor Analysis 14th Oct 2026 — 📊 What Was Analysed in the Screenshot
1. The 1-Year Normalized Relative Performance Chart (Top Right)
What to look at: The green line representing Momentum vs S&P 500 (MTUM / SPY).
👀 Observation: The green line reached a peak relative gain near ~20% above SPY around mid-year (July) before pulling back and settling at +4.33% at the far-right end of the chart (October).
✔️ Conclusion: Momentum stocks enjoyed a powerful sustained rally relative to the market for most of the year, but the recent trajectory is sloping downward, indicating a period of profit-taking or cooling off.
2. The Factor Matrix Table (Top Left)
What to look at: The Momentum (MTUM/SPY) row across the 1D % and Z-Score columns.
👀 Observation:
1D %: -0.62%
Z-Score: -0.38
✔️ Conclusion: On a short-term intraday basis, Momentum stocks underperformed the benchmark (SPY) by 62 basis points. The negative Z-score (-0.38) confirms that this weakness is slightly below Momentum's 1-year historical baseline, pointing to minor short-term mean-reversion rather than an extreme structural crash (which would show a Z-score past -2.0).
3. Factor Performance Rankings (Bottom Right)
What to look at: The Performance vs S&P 500 Rankings table for the 1Y timeframe.
👀 Observation: Top relative performers: Spin-offs (+15.1%), Value (+8.1%), and Momentum (+4.3%). Bottom relative performers: Growth (-8.2%) and Low Volatility (-8.7%).
✔️Conclusion: Over the past 12 months, capital favoured cyclical and momentum drivers over high-valuation growth and ultra-defensive low-volatility names. However, the gap between Value (+8.1%) and Momentum (+4.3%) indicates capital has been rotating toward Value.
❗What i have been monitoring post 14th Oct
•Relative Strength Slope (MTUM / SPY): Looking at whether the relative price line is making higher highs or lower lows against SPY.
•Z-Score Standard Deviations: Evaluating whether momentum is overstretched (Z-score >+1.5) or undergoing a healthy pullback (Z-score near 0.00 to -0.50).
•Cross-Factor Capital Flow: Tracking whether money flowing out of Momentum (-0.62% 1D) is migrating into Value (IWD) or Mid-Caps (IJJ).
