Factor Lab Daily Report 2026-07-07
Momentum factor dominates with ICIR 2.70; Tech sector momentum strongest at IC 0.52; Value factors (EP/FCF) remain negative, deep value continues to underperform
All-Factor IC Test
| Factor | IC Mean | ICIR | p-value | Long-Short | Monotonic |
|---|---|---|---|---|---|
| EP (Valuation) | -0.0624 | -0.74 | 0.00005 ⭐ | +3.87% | — |
| BP (Book-to-Price) | +0.0056 | +0.08 | 0.6355 | +0.82% | — |
| FCF Yield | -0.0589 | -1.43 | 0.00000 ⭐ | +3.04% | — |
| ROE | -0.0414 | -1.23 | 0.00000 ⭐ | +1.11% | — |
| Momentum | +0.2241 | +2.70 | 0.00000 ⭐ | -8.07% | ✅ Yes |
| Volatility | +0.1320 | +1.05 | 0.00000 ⭐ | -7.61% | — |
| Size | +0.0479 | +1.25 | 0.00000 ⭐ | -2.06% | — |
⭐ Statistically significant at 5% level. Long-short = Q1-Q5 mean return difference. Negative = factor selects winners effectively.
Key Findings
- Momentum remains king: ICIR 2.70 is the strongest across all factors, with -8.07% long-short spread and monotonic quintile returns. Winners keep winning.
- Value factors universally negative: EP, FCF Yield, and ROE all show negative IC — cheap stocks keep getting cheaper, expensive keep getting more expensive. Classic momentum-driven market.
- BP factor neutral: IC near zero with p=0.64, book-to-price provides no differentiation right now.
- Low vol ≠ safe haven: Volatility factor IC +0.13 significantly positive, meaning low-vol stocks have been underperforming. Risk appetite is back.
- Small caps slightly favored: Size factor IC +0.05, small caps modestly outperforming large caps.
Sector Momentum Breakdown
| Sector | IC Mean | ICIR | Long-Short | Monotonic |
|---|---|---|---|---|
| Info Tech | +0.5240 | +2.58 | -28.54% | ✅ |
| Financials | +0.3094 | +2.63 | -7.19% | — |
| Industrials | +0.2659 | +2.88 | -7.14% | ✅ |
| Consumer Disc. | +0.2522 | +2.11 | -6.21% | ✅ |
| Consumer Staples | +0.2088 | +1.34 | -4.67% | — |
| Utilities | +0.1993 | +1.01 | -0.63% | — |
| Real Estate | +0.1242 | +0.84 | -3.83% | — |
| Health Care | -0.1280 | -1.21 | +7.51% | — |
Sector Highlights
- Tech momentum overwhelms all others: IC 0.52 with -28.54% long-short — the only sector with double-digit spread. Massive dispersion between tech winners and losers.
- Financials and Industrials also strong: ICIR 2.63 and 2.88 respectively, among the strongest directional signals.
- Health Care reverses course: Only sector with negative IC — reversal dynamics at play, with prior losers bouncing and winners fading.
- All sectors aligned (except Healthcare): Systematic momentum, not sector rotation.
Anomaly Detection
✅ All factors within normal ranges. No anomalies detected.
Overall Assessment
Market regime: Momentum bull, value dead. Momentum works across all sectors, with tech offering the best stock selection. Value factors consistently negative — the market is chasing trends, not fundamentals. This is not a defensive positioning environment — follow the trend, don’t fade it.
Data: 2026-07-07 06:34 CST | ~500 US stocks | 39-week IC window