Factor Lab Daily Brief 2026-06-07
Momentum ICIR +2.70 dominates; IT sector extreme dispersion; value factors (fcf_yield/ep) signal reversal
Full Factor IC Test
| Factor | IC Mean | ICIR | p-value | Long-Short | Signal |
|---|---|---|---|---|---|
| Momentum | +0.2241 | +2.70 | 0.000 | -8.07% | ⭐ Monotone |
| Volatility | +0.1320 | +1.05 | 0.000 | -7.61% | ⭐ |
| Size | +0.0479 | +1.25 | 0.000 | -2.06% | ⭐ |
| EP | -0.0624 | -0.74 | 0.000 | +3.87% | ⭐ |
| FCF Yield | -0.0589 | -1.43 | 0.000 | +3.04% | ⭐ |
| ROE | -0.0414 | -1.23 | 0.000 | +1.11% | ⭐ |
| BP | +0.0056 | +0.08 | 0.635 | +0.82% | — |
Key Takeaways
Momentum dominates: ICIR +2.70 with perfect monotonicity and -8.07% long-short spread. Strong momentum stocks continue crushing weak ones — textbook trend-continuation environment.
Value factors collectively reversing: EP, FCF Yield, ROE all show significantly negative ICs. The market is abandoning low-valuation names and chasing growth/momentum. Classic growth > value regime.
Volatility factor (Vol): ICIR +1.05 — high-volatility stocks outperforming low-vol, consistent with rising risk appetite.
BP neutralized: Book-to-price ICIR at +0.08 with p-value 0.635. Completely useless in this environment.
Anomaly scan: All factors within normal ranges — no extreme anomalies detected.
Sector Momentum Decomposition
| Sector | IC Mean | ICIR | Long-Short | Monotone |
|---|---|---|---|---|
| Information Technology | +0.524 | +2.58 | -28.54% | ⭐ Monotone |
| Industrials | +0.266 | +2.88 | -7.14% | ⭐ Monotone |
| Financials | +0.309 | +2.63 | -7.19% | — |
| Consumer Discretionary | +0.252 | +2.11 | -6.21% | ⭐ Monotone |
| Consumer Staples | +0.209 | +1.34 | -4.67% | — |
| Utilities | +0.199 | +1.01 | -0.63% | — |
| Real Estate | +0.124 | +0.84 | -3.83% | — |
| Health Care | -0.128 | -1.21 | +7.51% | — |
Sector Commentary
- IT momentum extremely divergent: ICIR +2.58 with -28.54% long-short spread. Top names crushing laggards within tech — stock selection matters more than timing here.
- Industrials/Financials follow closely: Both ICIR >2.6 with strong trend continuation. Industrials benefiting from reshoring narrative; financials from rate environment.
- Health Care contrarian: Only sector with negative IC (-0.128), suggesting defensive rotation into lower-momentum healthcare names.
- Defensive sectors (Staples/Utilities): Modest ICIR 1.0-1.3, lacking the trend strength of offensive sectors.
