Factor Lab Daily Brief 2026-06-14
Momentum ICIR 2.70 dominates; IT sector momentum IC at 0.52; junk bond demand crashes to extreme fear
Full Factor IC Tests (21-Day Holding Period)
| Factor | IC Mean | ICIR | p-value | IC>0% | Long-Short |
|---|---|---|---|---|---|
| MOM | 0.2241 | 2.697 | 0.000 | 100.0% | -8.07% |
| VOL | 0.1320 | 1.051 | 0.000 | 79.5% | -7.61% |
| SIZE | 0.0479 | 1.250 | 0.000 | 87.2% | -2.06% |
| FCF Yield | -0.0589 | -1.426 | 0.000 | 7.7% | +3.04% |
| ROE | -0.0414 | -1.230 | 0.000 | 12.8% | +1.11% |
| EP | -0.0624 | -0.742 | 0.0001 | 17.9% | +3.87% |
| BP | 0.0056 | 0.078 | 0.635 | 46.2% | +0.82% |
Key Findings:
- Momentum (MOM) dominates with ICIR=2.70 and 100% positive IC. Q5 (strongest momentum) delivers +7.95% monthly; Q1 near zero. Momentum is in extreme-strong territory.
- Volatility (VOL) ICIR=1.05 — high-vol stocks continue crushing low-vol stocks. Q5 delivers +8.15%. Market is in full “chase” mode.
- Size (SIZE) ICIR=1.25 — large-caps consistently outperform, reflecting capital concentration toward mega-caps.
- FCF Yield ICIR=-1.43, strong inverse — low-FCF stocks rally hard. Cross-validates with momentum: market chases “story” over “value.”
- EP/ROE both inverse: high-valuation, low-earnings stocks outperform.
- BP (Book-to-Price) — the only insignificant factor (p=0.635). Value factor is effectively dead.
Sector Momentum Decomposition
| Sector | IC Mean | ICIR | IC>0% | Long-Short | Q5 Return |
|---|---|---|---|---|---|
| Info Tech | 0.524 | 2.584 | 100% | -28.54% | +27.19% |
| Financials | 0.309 | 2.626 | 100% | -7.19% | +7.80% |
| Industrials | 0.266 | 2.878 | 100% | -7.14% | +5.51% |
| Consumer Disc. | 0.252 | 2.110 | 100% | -6.21% | +2.15% |
| Consumer Staples | 0.209 | 1.341 | 87.2% | -4.67% | +0.02% |
| Utilities | 0.199 | 1.007 | 76.9% | -0.63% | -1.66% |
| Real Estate | 0.124 | 0.840 | 74.4% | -3.83% | +4.95% |
| Health Care | -0.128 | -1.206 | 15.4% | +7.51% | -2.66% |
Sector Highlights:
- Information Technology in a league of its own — IC=0.524, Q5 delivers +27.19% monthly. AI/semiconductor narrative continues driving capital inflows.
- Health Care is the only reversal sector (IC=-0.128) — Q1 (weakest momentum) actually rallies +4.84%. Money is doing mean-reversion within healthcare.
- Financials/Industrials show stable momentum (ICIR>2.5), large-cap value riding the market trend.
Summary
Market is in an extreme momentum + weak value style divergence:
- Momentum and volatility factors are resonating — Q5 returns far exceed Q1. Classic trend-following regime.
- Valuation factors (EP/BP) are effectively dead; FCF is strongly inverse. Fundamental pricing is sidelined.
- At the sector level, IT’s momentum intensity (IC=0.524) dwarfs all others — concentration risk deserves attention.
- Healthcare’s reversal signal is worth tracking — if momentum weakens broadly, healthcare may be first to bounce.