Factor Lab Daily Report 2026-07-10
Momentum dominates with IC +0.22; IT sector momentum IC hits +0.52; value factors uniformly negative
Full Factor IC Test (21-Day Holding)
| Factor | IC Mean | ICIR | p-value | Long-Short | Direction |
|---|---|---|---|---|---|
| Momentum (mom) | +0.2241 | +2.70 ⭐ | 0.000 ⭐ | -8.07% ⭐Monotonic | Winners keep winning |
| Volatility (vol) | +0.1320 | +1.05 ⭐ | 0.000 ⭐ | -7.61% | Low vol outperforms |
| Size | +0.0479 | +1.25 ⭐ | 0.000 ⭐ | -2.06% | Large caps lead |
| Book/Price (bp) | +0.0056 | +0.08 | 0.635 | +0.82% | Not significant |
| ROE | -0.0414 | -1.23 ⭐ | 0.000 ⭐ | +1.11% | Reversal |
| FCF Yield | -0.0589 | -1.43 ⭐ | 0.000 ⭐ | +3.04% | Reversal |
| Earnings Yield (ep) | -0.0624 | -0.74 ⭐ | 0.000 ⭐ | +3.87% | Reversal |
Factor Rankings
- 🥇 Momentum: ICIR +2.70 — strongest signal market-wide, monotonic long-short decay
- 🥈 Volatility: ICIR +1.05 — low-vol strategy effective, capital prefers stable names
- 🥉 Size: ICIR +1.25 — large caps relatively favored
- ⚠️ Value factors uniformly negative: EP, FCF, ROE all significantly negative IC — cheap getting cheaper
Sector Momentum Decomposition
| Sector | IC Mean | ICIR | Long-Short | Characteristic |
|---|---|---|---|---|
| Info Tech | +0.5240 | +2.58 ⭐ | -28.54% ⭐Monotonic | 🔥 Momentum king |
| Financials | +0.3094 | +2.63 ⭐ | -7.19% | Strong momentum |
| Industrials | +0.2659 | +2.88 ⭐ | -7.14% ⭐Monotonic | Strong momentum |
| Cons. Discretionary | +0.2522 | +2.11 ⭐ | -6.21% ⭐Monotonic | Strong momentum |
| Cons. Staples | +0.2088 | +1.34 ⭐ | -4.67% | Moderate momentum |
| Utilities | +0.1993 | +1.01 ⭐ | -0.63% | Mild momentum |
| Real Estate | +0.1242 | +0.84 ⭐ | -3.83% | Weak momentum |
| Health Care | -0.1280 | -1.21 ⭐ | +7.51% | 🔄 Only reversal sector |
Sector Landscape
- Momentum concentrated in Tech + Financials + Industrials: All three IC > +0.25
- IT extreme divergence: IC +0.524, long-short gap ~29% — extreme winner-loser bifurcation
- Health Care reversal: Only sector with significant negative IC, mean-reversion signal
- Defensive sectors mild: Utilities and Real Estate IC +0.12~+0.20
Anomaly Detection
✅ All factors within normal fluctuation range. No anomaly alerts.
Summary
Momentum factor dominates for consecutive days with IC +0.22 near yearly highs. Value factors remain ineffective — market is entirely trend-driven with fundamental valuation logic sidelined.
Core tension: Momentum-value divergence at extreme levels. Tech momentum IC +0.52 vs EP factor IC -0.06 point in opposite directions. Historically, when momentum ICIR exceeds +2.5 with all value factors negative, short-term trend can persist but medium-term reversal risk accumulates.
Watch: Health Care reversal signal spreading to other defensive sectors, and any signs of momentum decay in Technology.