Factor — US
US factor-ETF rotation. Each factor ETF's position shows its momentum and relative strength vs the S&P 500 benchmark.
Source updated 2026-07-03 06:58 KST · click image to view full size
Factor Dislocation Monitor
As of 2026-07-02 · regime supportive · 6 hot · 1 actionable · 2 walk-forward core · 16 shown / 8 hidden (low-precision)
Precision (R²) = median daily-return R²: the share of asset A's daily moves the hedge B explains. Higher = cleaner single-driver spread, so the z-score is more trustworthy. Only high-precision hedges (R²≈≥0.70) plus proven walk-forward edges are shown; ⚠ marks a low-precision hedge kept only for its edge.
Factor map
Today's hot spots
| # | Pair | Direction | z | 5D Δz | Precision R² | Stat | Action |
|---|---|---|---|---|---|---|---|
| 1 | IWO/IWF | Short IWO / Long IWF | 2.27 | -1.48 | 0.77 (B) | C | watch |
| 2 | RSP/SPY | Short RSP / Long SPY | 2.22 | -0.57 | 0.94 (A) | Reject | watch |
| 3 | VTV/VUG | Short VTV / Long VUG | 1.69 | -0.1 | 0.81 (A) | Reject | none |
| 4 | RSPT/XLK | Watch | 0.55 | -0.01 | 0.87 (A) | C | none |
| 5 | XSD/SOXX | Watch | -0.43 | 1.25 | 0.9 (A) | C | none |
click either chart to enlarge
Group detail & pair diagnostics
Beta / Volatility — watch · hedge fit R² 0.41
| Pair | z | 5D Δz | Precision R² | Stat | WF Sharpe | Signal | Decision | Chart |
|---|---|---|---|---|---|---|---|---|
| SPHB/SPLV | 2.68 | 0.02 | 0.41 (Reject) ⚠ | Reject | 0.618 | Short SPHB / Long SPLV | KEEP_CORE | 📈 view |
Size / Liquidity — watch · hedge fit R² 0.78
| Pair | z | 5D Δz | Precision R² | Stat | WF Sharpe | Signal | Decision | Chart |
|---|---|---|---|---|---|---|---|---|
| IWO/IWF | 2.27 | -1.48 | 0.77 (B) | C | -0.216 | Short IWO / Long IWF | KEEP_WATCH | 📈 view |
| IJR/IVV | 1.93 | 0.61 | 0.77 (B) | C | -0.575 | Short IJR / Long IVV | KEEP_WATCH | 📈 view |
| IWM/SPY | 0.13 | 0.48 | 0.79 (B) | C | -0.519 | Watch | KEEP_WATCH | 📈 view |
Quality / Defensive Strength — watch · hedge fit R² 0.87
| Pair | z | 5D Δz | Precision R² | Stat | WF Sharpe | Signal | Decision | Chart |
|---|---|---|---|---|---|---|---|---|
| SPHQ/SPY | 0.37 | -0.98 | 0.9 (A) | C | -1.072 | Watch | KEEP_WATCH | 📈 view |
| QUAL/MTUM | 3.01 | 0.68 | 0.82 (A) | Reject | -0.692 | Short QUAL / Long MTUM | KEEP_WATCH | 📈 view |
| QUAL/SPY | -0.17 | 0.17 | 0.96 (A) | Reject | -0.325 | Watch | KEEP_WATCH | 📈 view |
| QUAL/VLUE | 2.32 | 0.26 | 0.79 (B) | Reject | -0.459 | Short QUAL / Long VLUE | KEEP_WATCH | 📈 view |
Momentum / Winner Crowding — watch · hedge fit R² 0.79
| Pair | z | 5D Δz | Precision R² | Stat | WF Sharpe | Signal | Decision | Chart |
|---|---|---|---|---|---|---|---|---|
| MTUM/SPY | -2.51 | -0.93 | 0.84 (A) | Reject | -0.089 | Long MTUM / Short SPY | KEEP_WATCH | 📈 view |
| MTUM/USMV | 1.91 | 0.42 | 0.74 (B) | Reject | 0.403 | Short MTUM / Long USMV | KEEP_CORE | 📈 view |
Breadth / Concentration — watch · hedge fit R² 0.9
| Pair | z | 5D Δz | Precision R² | Stat | WF Sharpe | Signal | Decision | Chart |
|---|---|---|---|---|---|---|---|---|
| RSP/SPY | 2.22 | -0.57 | 0.94 (A) | Reject | -0.436 | Short RSP / Long SPY | KEEP_WATCH | 📈 view |
| RSPT/XLK | 0.55 | -0.01 | 0.87 (A) | C | -0.567 | Watch | KEEP_WATCH | 📈 view |
| XSD/SOXX | -0.43 | 1.25 | 0.9 (A) | C | -0.801 | Watch | KEEP_WATCH | 📈 view |
| QQQE/QQQ | -0.38 | 1.32 | 0.89 (A) | C | -0.139 | Watch | KEEP_WATCH | 📈 view |
Spreads are beta-hedged log spreads (rolling return-regression beta, no look-ahead). Relationship grade uses daily-return R²; stationarity uses ADF/KPSS/Engle-Granger/Hurst/OU half-life on the global spread. Parameters are walk-forward selected (3y train / 1y validate). z is the dislocation magnitude; + means asset A rich vs B. Most factor spreads trend over decades (global stationarity fails), so this is a dislocation MONITOR — only walk-forward-positive, robust pairs are KEEP_CORE.
Style Box — SMID · LARGE · TOTAL
Size × style relative returns (21D / 10D / 5D). Refreshed every morning.
Leadership Regime — Small vs Large
Small-cap vs large-cap leadership ratio + EMA. Refreshed every morning.
Market Breadth
Market breadth + momentum participation + 2nd-order acceleration. Refreshed every morning.
