# The Market Fieldbook — Monthly Factor Snapshot - **Generated Date:** 2026-10-03 09:05 UTC - **Latest Ken French Data Date:** 2026-08-31 - **Data Lag:** 33 days - **Current Market Regime:** Broad Risk-On > How to read this report ## Factors in one minute The most notable factor conclusion is that **Mkt-RF** and **SMB** are classified as positive across all four displayed horizons. In contrast, **HML**, **RMW**, and **CMA** exhibit mixed patterns, with **HML** showing a negative return over the 1M horizon while being positive over longer periods. The main factor contrast to monitor is the performance of **Momentum**, which is negative over the short term but positive over longer horizons. ## Current factor field read | Factor | Plain-English comparison | 1M | 3M | 6M | 1Y | Evidence-based interpretation | |--------------|--------------------------------------------------------------|-------|-------|-------|-------|-------------------------------------------------------------------| | Mkt-RF | broad stock-market excess return over the risk-free rate | +2.5% | +0.5% | +10.1%| +14.7%| Positive across all four displayed horizons. | | SMB | small companies versus large companies | +0.4% | +1.7% | +0.4% | +0.5% | Positive across all four displayed horizons. | | HML | value stocks versus growth stocks | -3.5% | +2.9% | +1.2% | +11.0%| Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M. | | RMW | more profitable companies versus less profitable companies | -4.0% | +1.7% | -11.2%| -14.1%| Mixed pattern: positive over 3M; negative over 1M, 6M, 1Y. | | CMA | conservative corporate investment versus aggressive corporate investment | -2.0% | +3.7% | -1.6% | +0.1% | Mixed pattern: positive over 3M, 1Y; negative over 1M, 6M. | | Momentum | recent winners versus recent losers | -5.1% | -10.9%| +1.0% | +10.6%| Mixed pattern: positive over 6M, 1Y; negative over 1M, 3M. | | Short-Term Reversal | recent losers versus recent winners | +3.1% | +7.6% | +7.8% | +2.2% | Positive across all four displayed horizons. | | Long-Term Reversal | long-term losers versus long-term winners | +0.5% | -0.3% | +7.0% | +8.7% | Mixed pattern: positive over 1M, 6M, 1Y; negative over 3M. | ## What was rewarded - **Mkt-RF:** The broad stock-market excess return over the risk-free rate increased by +2.5% in the last month, with a positive context of +0.5% over 3M, +10.1% over 6M, and +14.7% over 1Y. - **SMB:** The small companies versus large companies factor rose by +0.4% in the last month, supported by a +1.7% return over 3M, +0.4% over 6M, and +0.5% over 1Y. - **Short-Term Reversal:** This factor showed a return of +3.1% over the last month, with positive returns of +7.6% over 3M, +7.8% over 6M, and +2.2% over 1Y. ## What weakened - **HML:** value stocks versus growth stocks returned -3.5% over 1M, +2.9% over 3M, +1.2% over 6M, and +11.0% over 1Y. Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M. - **RMW:** more profitable companies versus less profitable companies returned -4.0% over 1M, +1.7% over 3M, -11.2% over 6M, and -14.1% over 1Y. Mixed pattern: positive over 3M; negative over 1M, 6M, 1Y. - **CMA:** conservative corporate investment versus aggressive corporate investment returned -2.0% over 1M, +3.7% over 3M, -1.6% over 6M, and +0.1% over 1Y. Mixed pattern: positive over 3M, 1Y; negative over 1M, 6M. - **Momentum:** recent winners versus recent losers returned -5.1% over 1M, -10.9% over 3M, +1.0% over 6M, and +10.6% over 1Y. Mixed pattern: positive over 6M, 1Y; negative over 1M, 3M. ## One-month move versus broader pattern - **Persistent positive patterns:** Mkt-RF, SMB, Short-Term Reversal were positive over 1M, 3M, 6M, and 1Y. - **Mixed patterns:** HML, RMW, CMA, Momentum, Long-Term Reversal had differing signs across the displayed horizons. ## Market regime and factors together The current market regime is classified as Broad Risk-On, with a regime score of 88. The positive performance of Mkt-RF and SMB supports this regime, while the mixed evidence from HML, RMW, CMA, and Momentum complicates the overall picture. ## Why this matters Academic factor portfolios separate broad market performance from returns associated with size, valuation, profitability, corporate investment, momentum, and reversal characteristics. The factors positive across all four displayed horizons were Mkt-RF, SMB, Short-Term Reversal. The remaining mixed factors should be interpreted by their individual lookbacks rather than as persistent trends. ## What would change the conclusion - The **Mkt-RF** conclusion changes if it becomes negative across repeated observations and multiple horizons. - The **SMB** conclusion changes if it becomes negative across repeated observations and multiple horizons. - The **HML** conclusion changes if it becomes positive across repeated observations and several horizons. - The **RMW** conclusion changes if it becomes positive across repeated observations and several horizons. - The **CMA** conclusion changes if it becomes positive across repeated observations and several horizons. - The **Momentum** conclusion changes if it becomes negative across repeated observations and multiple horizons. - The broader **market regime** conclusion changes only if multiple supplied regime and factor signals deteriorate together. ## What to watch next month 1. Monitor the performance of HML for signs of recovery or continued weakness. 2. Observe the trajectory of RMW and CMA for potential shifts in profitability and investment strategies. 3. Watch for changes in Momentum to assess its impact on market dynamics. 4. Keep an eye on the overall market regime score for any significant shifts. ## Factor glossary - **Mkt-RF:** broad stock-market excess return over the risk-free rate - **SMB:** small companies versus large companies - **HML:** value stocks versus growth stocks - **RMW:** more profitable companies versus less profitable companies - **CMA:** conservative corporate investment versus aggressive corporate investment - **Momentum:** recent winners versus recent losers - **Short-Term Reversal:** recent losers versus recent winners - **Long-Term Reversal:** long-term losers versus long-term winners ## Data freshness and limitations - Ken French data may lag the live market. - Canonical factors are academic long-short portfolios. - Sorted portfolios are research portfolios, not investable funds. - Industries, regions, and sorted portfolios are separate evidence types. - ETF proxies and academic factors are not interchangeable. --- # Detailed Factor Appendix Ken French Factor Regime Report Generated: 2026-10-03 09:05 UTC Latest Ken French data date: 2026-08-31 Data lag: 33 days 1/3 Executive Dashboard Market regime: Broad Risk-On Daily institutional factor universe: 1M 83% | 3M 82% | 6M 87% | 1Y 93% Canonical core factors: 1M 50% | 3M 75% | 6M 75% | 1Y 88% Industries: 1M 55% | 3M 70% | 6M 48% | 1Y 82% Style portfolios: 1M 80% | 3M 84% | 6M 95% | 1Y 96% Regime scorecard: - Risk-on: 88/100 (HIGH confidence) - Defensive rotation: 48/100 (LOW confidence) - Value leadership: 60/100 (MEDIUM confidence) - Small-cap leadership: 57/100 (MEDIUM confidence) - Momentum durability: 22/100 (LOW confidence) - Real asset/inflation leadership: 63/100 (MEDIUM confidence) Regime signals: - HML exceeds SMB over the selected intermediate lookbacks; see the canonical factor dashboard for the exact periods. - Short-term reversal is beating momentum, signaling unstable leadership. - Conservative investment characteristics are holding up better than market beta. - Six-month breadth remains positive across much of the tracked factor universe, while shorter lookbacks are more mixed. 2/3 Canonical Core Factor Dashboard Core Factor / Market: 1D -0.3%, 5D +0.3%, 1M +2.5%, 3M +0.5%, 6M +10.1%, YTD +10.0%, 1Y +14.7%, 3Y +59.3%, 5Y +47.6%, 10Y +224.8%, DD -10.1%, 6M pctile 70 Core Factor / Size: 1D -0.0%, 5D -0.4%, 1M +0.4%, 3M +1.7%, 6M +0.4%, YTD +3.4%, 1Y +0.5%, 3Y -14.1%, 5Y -22.7%, 10Y -21.3%, DD -6.0%, 6M pctile 54 Core Factor / Value: 1D -0.4%, 5D -1.4%, 1M -3.5%, 3M +2.9%, 6M +1.2%, YTD +8.2%, 1Y +11.0%, 3Y +14.7%, 5Y +30.1%, 10Y -12.7%, DD -6.1%, 6M pctile 49 Core Factor / Profitability/Quality: 1D -1.1%, 5D -0.9%, 1M -4.0%, 3M +1.7%, 6M -11.2%, YTD -8.9%, 1Y -14.1%, 3Y -18.0%, 5Y +1.9%, 10Y +14.9%, DD -20.8%, 6M pctile 2 Core Factor / Conservative Investment: 1D +0.0%, 5D -0.2%, 1M -2.0%, 3M +3.7%, 6M -1.6%, YTD +5.0%, 1Y +0.1%, 3Y -10.2%, 5Y +4.8%, 10Y -10.8%, DD -7.9%, 6M pctile 30 Core Factor / Momentum: 1D -0.1%, 5D -1.7%, 1M -5.1%, 3M -10.9%, 6M +1.0%, YTD +8.4%, 1Y +10.6%, 3Y +36.5%, 5Y +44.9%, 10Y +25.5%, DD -17.6%, 6M pctile 35 Core Factor / Short-Term Reversal: 1D -0.8%, 5D -0.7%, 1M +3.1%, 3M +7.6%, 6M +7.8%, YTD +0.7%, 1Y +2.2%, 3Y +18.4%, 5Y +9.6%, 10Y +54.6%, DD -9.6%, 6M pctile 25 Core Factor / Long-Term Reversal: 1D -0.2%, 5D -0.9%, 1M +0.5%, 3M -0.3%, 6M +7.0%, YTD +7.3%, 1Y +8.7%, 3Y -5.9%, 5Y +13.3%, 10Y -24.8%, DD -5.7%, 6M pctile 82 3/3 Themes + Clean Portfolio Leadership Leading themes: + Industry / Real Assets / Inflation Sensitive: avg 1M +15.1%, avg 6M +5.9%, avg 1Y +46.6%, 6M breadth 55% + Style Portfolio / Size Complex: avg 1M +2.5%, avg 6M +14.0%, avg 1Y +24.3%, 6M breadth 99% + Style Portfolio / Investment Complex: avg 1M +2.1%, avg 6M +13.4%, avg 1Y +25.0%, 6M breadth 97% + Industry / Growth / Technology: avg 1M +3.9%, avg 6M +16.9%, avg 1Y +24.3%, 6M breadth 100% + Style Portfolio / Profitability Complex: avg 1M +2.4%, avg 6M +13.3%, avg 1Y +22.2%, 6M breadth 94% + Style Portfolio / Value vs Growth Complex: avg 1M +3.4%, avg 6M +11.2%, avg 1Y +21.5%, 6M breadth 86% + Region / International / Regional: avg 1M +3.3%, avg 6M +9.9%, avg 1Y +17.2%, 6M breadth 92% + Core Factor / Market Beta: avg 1M +2.5%, avg 6M +10.1%, avg 1Y +14.7%, 6M breadth 100% Clean strongest portfolios / themes: Interpretation note: Ken French portfolio rows are academic research portfolios, not investable funds. They group stocks by characteristics such as size, value, profitability, investment, industry, or region. Use them as evidence about where factor leadership is concentrated beneath the surface. + Raw Ken French bucket - 25 Portfolios BEME INV 5x5 Meaning: Size quintile 3 (mid-sized stocks); Investment quintile 2 (lower investment). Portfolio 12 is a narrow academic research bucket, not an investable ticker. Returns: 1M +4.0%, 6M +44.7%, 1Y +78.6% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Value vs Growth Complex. + Regional raw Ken French bucket - Developed 25 Portfolios ME INV Meaning: Size quintile 3 (mid-sized stocks); Investment quintile 1 (lowest investment / most conservative asset growth). Portfolio 11 is a narrow academic research bucket, not an investable ticker. Returns: 1M +3.3%, 6M +47.3%, 1Y +77.0% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: International / Regional. + Raw Ken French bucket - 25 Portfolios OP INV 5x5 Meaning: Size quintile 1 (smallest stocks); Investment quintile 2 (lower investment). Portfolio 2 is a narrow academic research bucket, not an investable ticker. Returns: 1M +8.1%, 6M +39.0%, 1Y +78.6% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Profitability Complex. + Regional raw Ken French bucket - Japan 25 Portfolios ME INV Meaning: Size quintile 5 (largest stocks); Investment quintile 1 (lowest investment / most conservative asset growth). Portfolio 21 is a narrow academic research bucket, not an investable ticker. Returns: 1M +6.4%, 6M +46.0%, 1Y +78.0% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: International / Regional. + Regional raw Ken French bucket - Developed 25 Portfolios ME OP Meaning: Size quintile 3 (mid-sized stocks); Profitability quintile 1 (lowest profitability). Portfolio 11 is a narrow academic research bucket, not an investable ticker. Returns: 1M +5.0%, 6M +45.1%, 1Y +71.0% Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: International / Regional. + Raw Ken French bucket - 100 Portfolios ME INV 10x10 Meaning: Size decile 3 (smaller stocks); Investment decile 3 (lower investment). Portfolio 23 is a narrow academic research bucket, not an investable ticker. Returns: 1M +0.9%, 6M +40.4%, 1Y +67.1% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Investment Complex. Clean weakest portfolios / themes: Interpretation note: Weak buckets show where factor, industry, or regional pressure is concentrated. Duplicate labels are suppressed so repeated industry names do not crowd the report. - Industry - Clths Meaning: Clths industry portfolio Returns: 1M -8.7%, 6M -21.3%, 1Y -23.0% Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket. - Raw Ken French bucket - 25 Portfolios BEME INV 5x5 Meaning: Size quintile 4 (larger stocks); Investment quintile 4 (higher investment). Portfolio 19 is a narrow academic research bucket, not an investable ticker. Returns: 1M -1.9%, 6M -21.1%, 1Y -20.6% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Value vs Growth Complex. - Raw Ken French bucket - 100 Portfolios ME INV 10x10 Meaning: Size decile 10 (largest stocks); Investment decile 7 (higher investment). Portfolio 97 is a narrow academic research bucket, not an investable ticker. Returns: 1M +0.4%, 6M -15.0%, 1Y -17.2% Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Investment Complex. - Industry - Rubbr Meaning: Rubbr industry portfolio Returns: 1M -4.1%, 6M -14.8%, 1Y -22.6% Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket. - Industry - Lethr Meaning: Lethr industry portfolio Returns: 1M -15.0%, 6M -18.5%, 1Y +0.2% Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.