Factor Lab Daily Report 2026-08-23
Sunday is a non-trading day with no new data — every metric in this report is identical to the 08-22 report (which already incorporated Friday 08-21 close): momentum IC stays at -0.180, ICIR -1.37, IC positive ratio only 7.7%, long-short spread +5.77%; IT sector momentum IC -0.328 (L/S +13.08%) remains the most negative, Financials (IC -0.205) and Industrials (IC -0.206) keep weakening, and Real Estate stays the only positive-momentum sector (IC +0.206); the volatility factor is non-significant (p=0.067) and value factors remain ineffective. The momentum reversal picture has not changed since Friday's close.
Full-Factor IC Test (21-day holding)
| Factor | IC Mean | ICIR | t-stat | p-value | IC Positive % | L/S Ret % (Q1-Q5) |
|---|---|---|---|---|---|---|
| EP | -0.049 | -0.56 | -4.27 | 0.000 | 28.3% | +3.00% |
| BP | +0.006 | +0.10 | +0.77 | 0.446 | 50.0% | -0.15% |
| FCF Yield | -0.036 | -0.57 | -4.35 | 0.000 | 23.3% | +2.53% |
| ROE | -0.027 | -0.70 | -5.41 | 0.000 | 28.3% | +1.34% |
| Mom | -0.180 | -1.37 | -8.46 | 0.000 | 7.7% | +5.77% |
| Vol | -0.057 | -0.31 | -1.89 | 0.067 | 38.5% | +1.80% |
| Size | -0.047 | -0.59 | -3.64 | 0.001 | 25.6% | +2.78% |
Key Observations:
- Momentum reversal picture holds (key point): Momentum IC -0.180, ICIR -1.37, t-stat -8.46, IC positive ratio only 7.7% (just 3 of 39 cross-sections positive). Low-momentum stocks (Q1) average +5.43% while high-momentum (Q5) sit at -0.33%; the long-short spread is +5.77%. The reversal established on Friday carries through unchanged in this run with no new trading data.
- Value factors remain ineffective: EP (ICIR -0.56), FCF Yield (ICIR -0.57) and ROE (ICIR -0.70) all maintain significantly negative IC; low-valuation/high-ROE stocks keep underperforming.
- BP still useless: ICIR only 0.10, p=0.45; book value provides no discriminating power.
- Volatility factor non-significant: Vol IC -0.057, p=0.067, statistically non-significant; low-volatility outperformance persists but with weak edge.
- Size factor stays negative: Size IC -0.047, ICIR -0.59; small-cap relative outperformance continues.
- Data note: Today is Sunday, a non-trading day with no new close data. All metrics are identical to the 08-22 report (which incorporated Friday 08-21 close). This is a routine weekend update confirming the picture, not a data error.
Sector Momentum Breakdown
| Sector | Stocks | IC Mean | ICIR | IC Positive % | L/S Ret % (Q1-Q5) |
|---|---|---|---|---|---|
| Information Technology | 73 | -0.328 | -0.87 | 23.1% | +13.08% |
| Industrials | 79 | -0.206 | -1.27 | 12.8% | +6.99% |
| Financials | 76 | -0.205 | -0.90 | 12.8% | +4.27% |
| Consumer Staples | 36 | -0.186 | -1.03 | 15.4% | +5.55% |
| Consumer Discretionary | 48 | -0.101 | -0.64 | 30.8% | +2.24% |
| Utilities | 31 | -0.053 | -0.25 | 35.9% | +0.46% |
| Health Care | 59 | -0.034 | -0.13 | 48.7% | +1.63% |
| Real Estate | 31 | +0.206 | +0.73 | 77.1% | -4.87% |
Sector Highlights:
- IT momentum remains the most negative (key point): Sector momentum IC -0.328; Q1 (low momentum) returns +6.90% while Q5 (high momentum) -6.19%; the long-short spread of +13.08% stays at a stage high. The catch-up decline inside tech remains the broadest.
- Financials and Industrials keep weakening: Financials IC -0.205 with IC positive ratio 12.8%; Industrials IC -0.206 with a +6.99% long-short spread. Momentum leaders in these two heavyweight sectors remain in broad retreat.
- Real Estate remains the only positive-momentum sector: IC +0.206, ICIR +0.73, IC positive ratio 77.1%, keeping its sole positive-momentum status with clear defensive/safe-haven traits.
- Health Care and Utilities lose momentum power: Health Care IC -0.034 (p=0.43) and Utilities IC -0.053 (p=0.13) are both non-significant.
Summary
Today is Sunday, a non-trading day with no new close data; all metrics are identical to the 08-22 report (which incorporated Friday 08-21 close): the momentum reversal picture carries through unchanged — momentum IC -0.180, IT sector IC -0.328, Financials and Industrials keep weakening, volatility and size factors stay negative, and Real Estate is the only positive-momentum sector. This routine weekend update confirms Friday’s picture with no new shift in signals.
Risk signals to watch (unchanged since Friday’s close, not yet alleviated):
- Momentum (ICIR -1.37, t=-8.46) and IT sector (IC -0.328) sit in extreme territory; anomaly detection keeps flagging multiple sectors beyond 2σ with sign-flip alarms — the concentrated pullback in previously strong names has not stopped
- The reversal has deepened over consecutive days with extreme statistical significance — more likely real market behavior than a data artifact; chasing recent winners short-term carries high risk
- Real Estate (IC +0.206) remains the sole positive-momentum sector; defensive style may persist — watch rates and REIT fund flows
- The volatility factor is non-significant (p=0.067); the edge of low-volatility outperformance is weak, hinting the style shift may be entering its late stage, pending confirmation from Monday’s new data
Strategy takeaway: The momentum reversal has not changed since Friday’s close, so chasing recently strong names short-term remains risky. Value factors stay ineffective, while defensive styles (low-volatility / Real Estate) are relatively favored. Maintain low momentum exposure and wait for Monday’s new close data to confirm whether the reversal has stabilized before re-entering.