Factor Lab Daily Brief 2026-06-11
Momentum ICIR +2.70 leads; Healthcare momentum reversal; BP factor insignificant
Single-Factor Test Summary (S&P 500, 21-day holding, 39 cross-sections)
| Factor | IC Mean | ICIR | t-stat | p-value | IC+% | Long-Short |
|---|---|---|---|---|---|---|
| mom | +0.2241 | +2.70 ⭐ | +16.62 | 0.000 | 100% | -8.07% ⭐ monotone |
| size | +0.0479 | +1.25 ⭐ | +7.70 | 0.000 | 87% | -2.06% |
| fcf_yield | -0.0589 | -1.43 ⭐ | -8.79 | 0.000 | 7.7% | +3.04% |
| roe | -0.0414 | -1.23 ⭐ | -7.58 | 0.000 | 12.8% | +1.11% |
| vol | +0.1320 | +1.05 ⭐ | +6.48 | 0.000 | 79.5% | -7.61% |
| ep | -0.0624 | -0.74 ⭐ | -4.57 | 0.000 | 17.9% | +3.87% |
| bp | +0.0056 | +0.08 | +0.48 | 0.635 | 46.2% | +0.82% |
Key Findings
- Momentum remains the dominant factor — ICIR +2.70, 100% IC positive rate, perfectly monotone quintile returns (Q5 +7.95%/mo vs Q1 -0.12%)
- Value factors underperform collectively — ep/roe/fcf_yield all show negative IC, typical of growth-dominant regimes
- BP factor insignificant (p=0.635), book-to-price ratio has no predictive power in current market
- Volatility factor shows positive IC — high-vol stocks outperform low-vol, suggesting risk appetite recovery
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 |
| Health Care | -0.128 | -1.21 ⭐ | +7.51% | 🔴 reversed |
| Real Estate | +0.124 | +0.84 ⭐ | -3.83% | — |
| Utilities | +0.199 | +1.01 ⭐ | -0.63% | — |
| Consumer Staples | +0.209 | +1.34 ⭐ | -4.67% | — |
Sector Insights
- Tech momentum extreme: Q5 +27.2%/mo, highest concentration — historically a precursor to mean reversion
- Healthcare momentum reversal: Only major sector with negative IC — potential early signal of defensive rotation
- Industrials has the highest ICIR (+2.88), most stable momentum signal
Strategy Implications
- Trend following remains effective: Momentum ICIR +2.70 with perfect monotonicity
- Watch tech crowding: IT Q5 +27%/mo is an extreme concentration historically followed by mean reversion
- Healthcare reversal signal is worth monitoring — defensive sector showing inverse momentum may indicate early risk-off rotation
- Value factor dormancy: ep/bp/roe all weak — growth dominance means fighting the tape on value is ill-advised
