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Over the last month Market, Quality and Momentum led while Size, Value and Low volatility lagged. 4 of 7 style premia were positive. Risk appetite reads 45/100 (where the high-beta, credit, small-cap and low-volatility premia sit against their own history). The S&P 500 returned +1.6% and the 10-year yield moved +0.44 pp to 5.28%.
From the headlines — Yield‑driven caution amid AI sell‑off and oil shock. Higher financing costs are evident as the 10‑year Treasury yield sits at 5.27% and the effective federal funds rate remains at 3.75%. Combined with an AI earnings disappointment and a sharp oil price rise, investors appear more risk‑averse.
Stance: the premia (risk appetite ≥ 60 risk-on, ≤ 40 risk-off) and the AI reading of the headlines; when they disagree the regime is mixed.
Long/short premia of index ETFs over the last month, with the percentile of each against its own history since 2015.
| Factor | 1M | 3M | 1Y | Trend |
|---|---|---|---|---|
| MarketS&P 500 total return | +1.6%P49.0 | +2.6%P36.0 | +16.7%P53.0 | risingsince 2026-04-14 |
| SizeSmall caps minus large caps | −5.8%P3.0 | −8.4%P6.0 | −1.3%P66.0 | fallingsince 2026-09-09 |
| ValueValue minus growth | −4.4%P10.0 | −0.9%P60.0 | +12.8%P95.0 | fallingsince 2026-09-30 |
| MomentumRecent winners minus the market | +1.3%P70.0 | −3.5%P17.0 | +8.7%P85.0 | fallingsince 2026-08-20 |
| Low volatilityLow-volatility stocks minus the market | −0.8%P41.0 | −0.2%P59.0 | −9.8%P26.0 | fallingsince 2026-09-22 |
| QualityHigh-quality stocks minus the market | +1.5%P97.0 | +0.4%P62.0 | −0.5%P51.0 | risingsince 2026-10-08 |
| High betaHigh-beta stocks minus the market | +1.0%P61.0 | −0.6%P45.0 | +19.0%P86.0 | fallingsince 2026-10-08 |
| RatesChange in the 10-year Treasury yield | +0.44 ppP95.0 | +0.71 ppP92.0 | +1.15 ppP90.0 | risingsince 2026-08-20 |
| CreditHigh yield minus investment grade | +0.4%P53.0 | +1.7%P67.0 | +5.0%P71.0 | risingsince 2026-06-29 |
Sectors versus the S&P 500, 1 month. Leading: Technology (+3.7%), Communication Services (−0.4%), Consumer Staples (−0.4%). Lagging: Real Estate (−6.8%), Financials (−6.3%), Utilities (−5.5%). Dispersion 3.2%.
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Latest readings; the projection is the one-step forecast of the Economics Explorer's dynamic factor model.
| Indicator | Latest | 3-month change | Year over year | Trend | Projection |
|---|---|---|---|---|---|
| Effective Federal Funds Rate2026-09-01 | 3.75% | +0.12 pp | −0.47 pp | rising | ▼ 3.552026-11-30 |
| 10Y Treasury Yield2026-10-06 | 5.27% | +0.79 pp | +1.09 pp | rising | ▼ 4.732026-11-30 |
| 10Y minus 2Y Treasury2026-10-07 | +0.51 pp | +0.15 pp | −0.06 pp | rising | ▼ 0.462026-11-30 |
| CPI (All Urban Consumers)2026-08-01 | 3.35% | −0.81 pp | – | rising | ▼ 2.952026-11-30 |
| Core PCE Price Index2026-08-01 | 3.01% | −0.15 pp | – | rising | ▼ 2.472026-11-30 |
| Unemployment Rate2026-09-01 | 4.20% | 0.00 pp | −0.20 pp | stable | → 4.202026-11-30 |
| Nonfarm Payrolls2026-09-01 | +29k | – | – | rising | ▲ 180.862026-11-30 |
| VIX Index2026-10-07 | 15.08 | −1.05 pp | −2.16 pp | falling | ▲ 17.722026-11-30 |
| S&P 500 Index2026-10-07 | 7802 | +4.0% | +16.2% | rising | ▼ 7468.502026-11-30 |
| WTI Crude Oil Spot Price2026-09-01 | $97.31 | +14.7% | +52.1% | rising | ▼ 90.202026-11-30 |
| Trade Weighted US Dollar Index2026-10-02 | 121.38 | +0.6% | +0.8% | rising | ▼ 119.512026-11-30 |
| Moody's Baa Corporate Yield2026-09-01 | 6.47% | +0.47 pp | +0.64 pp | rising | ▼ 6.362026-11-30 |
| Consumer Sentiment (UMich)2026-08-01 | 51.70 | +15.4% | −11.2% | rising | ▼ 45.672026-11-30 |
| Housing Starts2026-08-01 | 1275 | +7.9% | −1.2% | rising | ▲ 1308.352026-11-30 |
AI briefing over 120 headlines from 7 sources.
Micron, Nvidia and other AI chip stocks fell after a report said OpenAI’s annualized revenue was lower than expected. OpenAI’s revenue was reported near $50 billion, well below the $70 billion previously signaled.
The sell‑off hurts semiconductor and AI‑related equities, especially as the 10‑year Treasury yield is at 5.27% indicating tighter financing conditions.
SpaceX agreed to purchase a nationwide spectrum portfolio, causing shares of AT&T, Verizon and T‑Mobile to fall. Traders see the move as a direct challenge to U.S. wireless carriers.
Telecom sector equities face downward pressure while the 10‑year Treasury yield at 5.27% may increase financing costs for capital‑intensive operators.
Southwest Airlines is weighing the Boeing 787 to launch international long‑haul routes, according to sources.
If adopted, the aircraft could boost airline capital spending, supported by an effective federal funds rate of 3.75% that aids financing.
American Express was fined $350 million for an insufficient anti‑money‑laundering program.
The penalty may weigh on the financial services sector and the company’s earnings, while consumer sentiment stands at 51.70.
Oil prices rose sharply as Iran stepped up tanker attacks and Hurricane Isaias approached the Gulf, pushing WTI crude to $97.31 per barrel.
Higher energy prices benefit oil‑related equities but also add to inflation pressures, with CPI at 3.35% and core PCE at 3.01%.
Every style exposure of the book against the month's premium, its sector tilts against sector leadership, and an estimate of what those exposures contributed.
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