Factor Lab Daily Brief 2026-06-30
Momentum ICIR leads at +2.70, EP/FCF value factors still generate alpha, healthcare momentum reversal notable
π Factor Lab Daily Brief β 2026-06-30
1. Full Factor IC Test
| Factor | IC Mean | ICIR | p-value | Long-Short Return | Signal |
|---|---|---|---|---|---|
| Momentum (mom) | +0.2241 | +2.6966 | 0.000 | -8.07% β monotonic | π’ Strong |
| Volatility (vol) | +0.1320 | +1.0508 | 0.000 | -7.61% | π’ Strong |
| Size | +0.0479 | +1.2497 | 0.000 | -2.06% | π’ Strong |
| EP | -0.0624 | -0.7418 | 0.000 | +3.87% | π’ Effective (reversed) |
| FCF Yield | -0.0589 | -1.4256 | 0.000 | +3.04% | π’ Strong (reversed) |
| ROE | -0.0414 | -1.2298 | 0.000 | +1.11% | π’ Strong (reversed) |
| BP | +0.0056 | +0.0775 | 0.635 | +0.82% | βͺ Failed |
Key Findings:
- Momentum ICIR still leads all factors at +2.70 with perfect monotonicity β 21-day top momentum group consistently outperforms bottom
- Value factors (EP, FCF Yield, ROE) show negative IC but significant ICIR β high-valuation groups outperform, indicating growth preference
- BP factor completely failed (p=0.635) β book-to-price has no predictive power in current market
2. Sector Momentum Decomposition
| Sector | IC Mean | ICIR | Long-Short Return | Monotonicity |
|---|---|---|---|---|
| Information Technology | +0.5240 | +2.5836 | -28.54% β | β Monotonic |
| Industrials | +0.2659 | +2.8780 | -7.14% β | β Monotonic |
| Financials | +0.3094 | +2.6260 | -7.19% | β |
| Consumer Discretionary | +0.2522 | +2.1104 | -6.21% β | β Monotonic |
| Consumer Staples | +0.2088 | +1.3410 | -4.67% | β |
| Utilities | +0.1993 | +1.0065 | -0.63% | β |
| Real Estate | +0.1242 | +0.8397 | -3.83% | β |
| Health Care | -0.1280 | -1.2058 | +7.51% | β |
Key Findings:
- IT sector has highest momentum IC (+0.524), but Industrials has highest ICIR (+2.88) β more stable momentum signal
- Healthcare is the only sector with reversed momentum β low momentum group outperforms by 7.5%, signaling potential sector rotation from growth to defensive
3. Anomaly Detection
β All factors within normal volatility ranges. No significant anomalies detected.
4. Strategy Implications
- Momentum remains the dominant factor β but watch sector divergence (IT/Industrials strong, Healthcare reversing)
- Value factors under persistent pressure β BP completely dead, EP/FCF/ROE significant but reversed direction
- Healthcare momentum reversal β early signal of sector rotation toward defensives
- Low-volatility anomaly persists β low-vol groups consistently outperform
Data: moomoo OpenD + FRED | Generated: 2026-06-30 06:32 CST