Daily Market Note
Broad Risk-On
Field read
The current regime is Broad Risk-On, indicating a generally constructive risk backdrop. However, there are signs of mixed breadth and lagging growth leadership. While the risk appetite remains supportive, the recent deterioration in growth and momentum leadership suggests a potential shift in market dynamics. The primary watch item is the rising defensive demand, which could signal a change in investor sentiment if it continues.
Full report
Presented as a field journal with responsive tables and preserved source text.
The Market Fieldbook — Daily Market Snapshot
- Snapshot Date: 2026-07-17 08:30 UTC
- Latest Market Data Date: 2026-07-16
- Current Regime: Broad Risk-On
- Internal Health: 74/100 (Stable)
- Regime Momentum: 22/100 (Weakening)
> How to read this report
The market in one minute
The current regime is Broad Risk-On, indicating a generally constructive risk backdrop. However, there are signs of mixed breadth and lagging growth leadership. While the risk appetite remains supportive, the recent deterioration in growth and momentum leadership suggests a potential shift in market dynamics. The primary watch item is the rising defensive demand, which could signal a change in investor sentiment if it continues.
Current field read
| Area | Current level | Recent direction | Plain-English interpretation |
|---|---|---|---|
| Risk-on appetite | 77 | Weakening | The risk-on appetite score has declined versus five snapshots ago. |
| Defensive demand | 44 | Improving | Defensive demand is rising meaningfully versus recent runs. |
| Growth leadership | 19 | Weakening | The growth leadership score has declined versus five snapshots ago. |
| Small-cap participation | 56 | Weakening | The small-cap participation score has declined versus five snapshots ago. |
| Momentum leadership | 18 | Weakening | The momentum leadership score has declined versus five snapshots ago. |
| Credit risk appetite | 62 | Stable | The credit risk appetite score remains stable compared to five snapshots ago. |
| Duration support | 42 | Stable | The duration support score remains stable compared to five snapshots ago. |
Swipe or scroll horizontally to view all columns.
What changed in the latest snapshot
There have been no major regime or leadership changes compared to the prior observation. The mixed signals in breadth and the deterioration in growth and momentum leadership are notable, but they do not indicate a definitive trend shift at this point.
What the pattern is saying
- The risk backdrop remains constructive, but the weakening scores in growth and momentum leadership suggest caution.
- Defensive demand is improving, which may indicate a shift in investor focus towards safer assets.
- The breadth of the market is mixed, with some deterioration noted, particularly in small-cap participation.
- Credit risk appetite remains stable, suggesting that investors are not overly concerned about credit risks at this time.
- Overall, the lack of persistent signals indicates that the current changes may not yet represent a durable trend.
Why this matters
Academic factor portfolios separate broad market performance from returns associated with size, valuation, profitability, corporate investment, momentum, and reversal characteristics.
What would change the conclusion
A multi-signal invalidation condition would require persistent deterioration across multiple snapshots in key areas such as risk-on appetite, growth leadership, and breadth. Conversely, a sustained improvement in these areas could reinforce the current regime.
What to watch in the next snapshots
- Monitor the trajectory of defensive demand and its impact on market sentiment.
- Watch for any signs of recovery in growth and momentum leadership.
- Keep an eye on breadth metrics to assess overall market participation.
- Observe credit risk appetite for any shifts that may indicate changing investor concerns.
- Track volatility levels to gauge market stability.
What weakened
No canonical factor had a negative 1M return.
One-month move versus broader pattern
Detailed Data Appendix
Daily ETF + Macro Strategist Note
Generated2026-07-17 08:30 UTC
Latest ETF price date2026-07-16
LookbacksT1=trailing 1M, T3=trailing 3M, T6=trailing 6M, T9=trailing 9M, T12=trailing 12M
1/9 Strategist Summary
Strategist summary:
- Current regime read: Broad Risk-On.
- ETF breadth: T1 59% | T3 74% | T6 82% | T12 100%.
- QQQ vs SPY: -4.7% over T1.
- RSP vs SPY: +1.7% over T1.
- MTUM vs SPY: -8.8% over T1.
- IWM vs SPY: +0.6% over T1.
- HYG vs TLT: +1.6% over T1.
- CMA-related quality/cash-generation proxy: QUAL vs SPY +1.0%, SPHQ vs SPY -3.0%, COWZ vs SPY +2.3% over T1. These are fresh ETF proxies for quality/cash-generation behavior, not substitutes for the Ken French CMA factor.
- Reversal-related momentum-unwind proxy: MTUM vs SPY -8.8%, SPMO vs SPY -7.5%, VLUE vs MTUM +2.9% over T1. Weakening momentum leadership with value/recovery improvement can flag reversal pressure; this is a proxy, not the academic reversal factor.
- Global vs U.S.: ACWI-SPY -0.8% over T1.
- Ex-U.S. vs U.S.: VXUS-SPY -2.6% over T1.
- Emerging markets vs U.S.: VWO-SPY -2.9% over T1.
- Volatility is contained with VIX at 16.73.
2/9 What Changed Since Prior Run
No major regime or leadership changes versus the prior run.
3/9 Tactical Signal Dashboard
- Risk backdrop: constructive.
- Breadth: mixed.
- Growth leadership: lagging.
- Equal-weight confirmation: confirming.
- Credit: confirming risk appetite.
- Volatility: contained.
- Defensive demand: rising.
3B/9 Regime Transition Monitor
- Defensive demand is rising meaningfully versus recent runs.
Tactical warnings:
- No major tactical warning signals currently detected.
- Breadth deterioration warning: T1 breadth fell from 82% to 59% over 5 observations.
3C/9 Historical Context + Divergence
- Concentration risk score: 22/100 (Low concentration risk / broad participation)
Historical percentiles:
- Risk appetite: 28th percentile
- T1 breadth: 22nd percentile
- QQQ vs SPY: 3rd percentile
- RSP vs SPY: 41st percentile
- Credit beta vs duration: 94th percentile
- VIX: 47th percentile
Regime momentum:
- Risk appetite: deteriorating (-16.0 pts vs 5 runs ago)
- Growth leadership: deteriorating (-30.0 pts vs 5 runs ago)
- Momentum leadership: deteriorating (-40.0 pts vs 5 runs ago)
- Small-cap participation: deteriorating (-7.0 pts vs 5 runs ago)
- Breadth: deteriorating (-23.5 pts vs 5 runs ago)
- Credit risk appetite: stable (+3.0 pts vs 5 runs ago)
- Defensive demand: improving (+18.0 pts vs 5 runs ago)
Statistical abnormality monitor:
- Breadth is moderately abnormal (-1.4σ, below normal).
- Mega-cap leadership is historically extreme (-2.1σ, below normal).
- Equal-weight participation is normal (-0.5σ, below normal).
- Small-cap participation is moderately abnormal (-1.4σ, below normal).
- Credit participation is moderately abnormal (+1.2σ, above normal).
Percentile monitor:
- Breadth is below average (22nd percentile).
- Mega-cap leadership is historically rare weakness (3rd percentile).
- Equal-weight participation is near normal (41st percentile).
- Small-cap participation is below average (28th percentile).
- Credit participation is very strong (94th percentile).
Signal deterioration monitor:
- No persistent 3-run deterioration or improvement signals detected.
3D/9 Signal Defensibility Diagnostics
- Market subregime: Broad Risk-On
Credit diagnostics:
- Spread stress: HY spreads appear calm at 2.71.
- Credit ETF confirmation: HYG is outperforming TLT by +1.6% over T1.
Defensive diagnostics:
- Equity defensives: 4/4 confirming versus SPY or positive over T1.
- Macro defensives: 1/4 confirming versus SPY or positive over T1.
Duration diagnostics:
- Treasury ETF trend: TLT T1 -1.4%; IEF T1 -0.3%.
- Rate impulse: 2Y 4.16 (+0.03 d/d); 10Y 4.57 (+0.02 d/d); 10Y-2Y curve 0.41 (-0.01 d/d).
4/9 Market State Dashboard
Market regimeBroad Risk-On
Current regime duration1 run
Internal health74/100 (Stable)
Regime momentum22/100 (Weakening)
Regime scorecard:
- Risk-on appetite: 77/100 (MEDIUM confidence)
- Defensive demand: 44/100 (LOW confidence)
- Growth leadership: 19/100 (HIGH confidence)
- Small-cap participation: 56/100 (LOW confidence)
- Momentum leadership: 18/100 (HIGH confidence)
- Real asset/inflation leadership: 47/100 (LOW confidence)
- Credit risk appetite: 62/100 (LOW confidence)
- Duration support: 42/100 (LOW confidence)
Confirmation dashboard:
Risk-on confirmations: 2/5
- No: SPY positive over T1
- No: QQQ outperforming SPY
- Yes: HYG outperforming TLT
- Yes: VIX below 20
- No: ETF breadth above 70%
Defensive confirmations: 2/5
- Yes: USMV outperforming SPY
- No: GLD outperforming SPY
- Yes: XLU outperforming SPY
- No: TLT positive over T1
- No: HY spreads widening
5/9 ETF Dashboard
ETF return explorer
Compare absolute returns across market groups and time horizons.
The complete return table is available below.
| SPYS&P 500 | Market beta | -0.3% | +7.5% | +8.8% | +14.2% | +22.0% |
|---|---|---|---|---|---|---|
| QQQNasdaq 100 | Market beta | -5.0% | +10.9% | +13.0% | +17.7% | +27.4% |
| RSPEqual Weight S&P 500 | Market beta | +1.4% | +8.1% | +9.6% | +16.5% | +20.1% |
| IWMRussell 2000 | Market beta | +0.3% | +10.0% | +13.6% | +21.9% | +36.5% |
| DIADow | Market beta | +1.5% | +8.7% | +7.5% | +15.2% | +21.1% |
| MTUMMomentum | Factor/style | -9.1% | +12.5% | +17.4% | +19.7% | +28.8% |
| SPMOS&P 500 Momentum | Factor/style | -7.8% | +14.9% | +21.5% | +20.7% | +30.0% |
| QUALQuality | Factor/style | +0.7% | +8.2% | +8.8% | +15.2% | +22.0% |
| SPHQS&P 500 Quality | Factor/style | -3.3% | +8.0% | +11.4% | +18.3% | +22.4% |
| COWZFree Cash Flow Yield | Factor/style | +2.1% | +5.0% | +5.9% | +17.5% | +19.9% |
| USMVMin Vol | Factor/style | +0.8% | +3.7% | +3.8% | +4.2% | +7.0% |
| VLUEEnhanced Value | Factor/style | -6.1% | +23.4% | +33.2% | +55.1% | +70.6% |
| VTVValue | Factor/style | +0.8% | +8.9% | +12.5% | +20.5% | +26.9% |
| VUGGrowth | Factor/style | -1.2% | +7.1% | +6.0% | +8.6% | +17.4% |
| AVUVSmall Value | Factor/style | +2.4% | +10.0% | +18.6% | +30.6% | +37.8% |
| DFSVSmall Value Profitability | Factor/style | +3.5% | +10.3% | +16.3% | +29.3% | +34.9% |
| XLKTechnology | Sectors | -7.3% | +18.3% | +21.5% | +25.0% | +38.4% |
| XLCCommunication Services | Sectors | +0.7% | -3.8% | -3.1% | -0.1% | +7.6% |
| XLYConsumer Discretionary | Sectors | -0.8% | -0.5% | -5.2% | +1.0% | +8.0% |
| XLIIndustrials | Sectors | +1.1% | +5.5% | +10.4% | +20.0% | +21.7% |
| XLFFinancials | Sectors | +6.3% | +9.2% | +5.6% | +9.1% | +11.6% |
| XLEEnergy | Sectors | +3.4% | +3.0% | +23.0% | +35.0% | +35.4% |
| XLBMaterials | Sectors | -2.7% | -0.6% | +5.3% | +16.9% | +16.3% |
| XLVHealthcare | Sectors | +6.3% | +10.0% | +4.1% | +15.4% | +24.2% |
| XLPConsumer Staples | Sectors | +1.1% | +6.6% | +7.1% | +12.5% | +10.1% |
| XLUUtilities | Sectors | +2.3% | -0.6% | +7.5% | +2.2% | +14.0% |
| XLREReal Estate | Sectors | +1.9% | +5.6% | +12.8% | +14.1% | +13.8% |
| ACWIGlobal Equities | Global/international | -1.1% | +5.8% | +8.6% | +15.2% | +23.2% |
| VXUSTotal International ex-US | Global/international | -2.9% | +2.2% | +8.2% | +17.5% | +25.9% |
| VEADeveloped Markets ex-US | Global/international | -2.8% | +2.5% | +9.2% | +19.9% | +27.8% |
| IEFAEAFE Developed Markets | Global/international | -0.2% | +2.0% | +6.8% | +15.5% | +22.0% |
| VWOEmerging Markets | Global/international | -3.2% | +1.4% | +5.3% | +11.2% | +20.7% |
| EEMEmerging Markets | Global/international | -8.0% | +3.7% | +12.2% | +22.4% | +34.4% |
| EWJJapan | Global/international | -2.3% | +3.7% | +9.4% | +20.9% | +33.7% |
| EWUUnited Kingdom | Global/international | +1.6% | -0.3% | +5.9% | +15.7% | +22.7% |
| EWQFrance | Global/international | -1.2% | +0.3% | +0.6% | +7.3% | +9.2% |
| EWGGermany | Global/international | -1.4% | -0.7% | -3.4% | +0.7% | +0.6% |
| MCHIChina | Global/international | -1.4% | -6.1% | -14.2% | -12.9% | -2.7% |
| FXIChina Large Cap | Global/international | -1.7% | -5.7% | -13.6% | -11.0% | -6.6% |
| INDAIndia | Global/international | -1.2% | -2.6% | -8.2% | -8.1% | -11.3% |
| EWCCanada | Global/international | +0.8% | +2.8% | +8.3% | +19.0% | +30.8% |
| EWAAustralia | Global/international | +0.1% | -4.1% | +9.9% | +10.8% | +13.3% |
| GLDGold | Macro assets | -8.0% | -17.1% | -13.4% | -3.5% | +19.0% |
| DBCCommodities | Macro assets | +0.9% | -1.5% | +21.8% | +31.6% | +32.0% |
| TLTLong Treasuries | Macro assets | -1.4% | -1.9% | -1.9% | -3.9% | +3.6% |
| IEFIntermediate Treasuries | Macro assets | -0.3% | -1.0% | -0.8% | -0.5% | +3.7% |
| HYGHigh Yield Credit | Macro assets | +0.2% | +0.7% | +1.4% | +3.7% | +6.0% |
| LQDInvestment Grade Credit | Macro assets | -1.0% | -1.1% | -0.7% | -0.5% | +4.4% |
| UUPUS Dollar | Macro assets | +1.3% | +3.8% | +3.6% | +4.7% | +6.8% |
Sort columns or swipe horizontally to view all return periods.
6/9 Relative Leadership
Relative-leadership explorer
Compare which assets are leading or lagging their reference markets.
The complete return table is available below.
| QQQ-SPYGrowth/mega-cap vs broad market | Relative leadership | -4.7% | +3.3% | +4.2% | +3.5% | +5.4% |
|---|---|---|---|---|---|---|
| RSP-SPYEqual-weight vs cap-weight | Relative leadership | +1.7% | +0.6% | +0.8% | +2.3% | -1.9% |
| IWM-SPYSmall caps vs large caps | Relative leadership | +0.6% | +2.5% | +4.8% | +7.7% | +14.5% |
| MTUM-SPYMomentum vs broad market | Relative leadership | -8.8% | +5.0% | +8.6% | +5.5% | +6.8% |
| SPMO-SPYS&P 500 momentum vs broad market | Relative leadership | -7.5% | +7.4% | +12.7% | +6.6% | +8.0% |
| QUAL-SPYQuality vs broad market | Relative leadership | +1.0% | +0.6% | +0.1% | +1.0% | -0.0% |
| SPHQ-SPYS&P 500 quality vs broad market | Relative leadership | -3.0% | +0.5% | +2.6% | +4.2% | +0.4% |
| COWZ-SPYFree-cash-flow yield vs broad market | Relative leadership | +2.3% | -2.6% | -2.9% | +3.4% | -2.1% |
| USMV-SPYMinimum volatility vs broad market | Relative leadership | +1.1% | -3.8% | -5.0% | -10.0% | -15.0% |
| VLUE-MTUMEnhanced value vs momentum | Relative leadership | +2.9% | +10.9% | +15.8% | +35.5% | +41.8% |
| VTV-VUGValue vs growth | Relative leadership | +1.9% | +1.8% | +6.5% | +11.8% | +9.4% |
| XLY-XLPConsumer discretionary vs staples | Relative leadership | -1.9% | -7.1% | -12.3% | -11.6% | -2.2% |
| XLI-XLUIndustrials vs utilities | Relative leadership | -1.2% | +6.1% | +2.9% | +17.8% | +7.7% |
| XLE-XLKEnergy vs technology | Relative leadership | +10.7% | -15.3% | +1.5% | +10.0% | -3.0% |
| GLD-SPYGold vs equities | Relative leadership | -7.7% | -24.7% | -22.2% | -17.6% | -3.0% |
| HYG-TLTCredit beta vs duration | Relative leadership | +1.6% | +2.6% | +3.4% | +7.5% | +2.4% |
| ACWI-SPYGlobal equities vs U.S. | Relative leadership | -0.8% | -1.8% | -0.2% | +1.0% | +1.2% |
| VXUS-SPYEx-U.S. equities vs U.S. | Relative leadership | -2.6% | -5.4% | -0.6% | +3.3% | +3.9% |
| VEA-SPYDeveloped ex-U.S. vs U.S. | Relative leadership | -2.5% | -5.1% | +0.4% | +5.8% | +5.8% |
| IEFA-SPYEAFE developed markets vs U.S. | Relative leadership | +0.1% | -5.5% | -2.0% | +1.3% | -0.0% |
| VWO-SPYEmerging markets vs U.S. | Relative leadership | -2.9% | -6.1% | -3.5% | -2.9% | -1.3% |
| VWO-VEAEmerging markets vs developed ex-U.S. | Relative leadership | -0.4% | -1.1% | -4.0% | -8.7% | -7.1% |
| EWJ-IEFAJapan vs EAFE developed markets | Relative leadership | -2.1% | +1.8% | +2.6% | +5.4% | +11.7% |
| MCHI-VWOChina vs emerging markets | Relative leadership | +1.7% | -7.5% | -19.5% | -24.1% | -23.4% |
| INDA-VWOIndia vs emerging markets | Relative leadership | +2.0% | -4.0% | -13.5% | -19.3% | -32.0% |
Sort columns or swipe horizontally to view all return periods.
6B/9 Global / International Confirmation
Global risk appetite score41/100 (Mixed global confirmation)
Global relative leadership:
- Global equities vs U.S.: ACWI-SPY -0.8% over T1
- Ex-U.S. equities vs U.S.: VXUS-SPY -2.6% over T1
- Developed ex-U.S. vs U.S.: VEA-SPY -2.5% over T1
- EAFE developed markets vs U.S.: IEFA-SPY +0.1% over T1
- Emerging markets vs U.S.: VWO-SPY -2.9% over T1
- Emerging markets vs developed ex-U.S.: VWO-VEA -0.4% over T1
- Japan vs EAFE developed markets: EWJ-IEFA -2.1% over T1
- China vs emerging markets: MCHI-VWO +1.7% over T1
- India vs emerging markets: INDA-VWO +2.0% over T1
- Dollar backdrop: UUP T1 +1.3%
Global read-through: global equities are lagging U.S. equities; ex-U.S. equities are not confirming U.S. leadership; emerging markets are lagging; developed ex-U.S. is leading EM.
7/9 U.S. Leaders and Laggards
Strongest U.S. trend scores:
- VLUE (Enhanced Value): T1 -6.1%, T6 +33.2%, T12 +70.6%, Persistence 4/5, Acceleration -11.7%, Decelerating leadership
- AVUV (Small Value): T1 +2.4%, T6 +18.6%, T12 +37.8%, Persistence 5/5, Acceleration -0.7%, Decelerating leadership
- XLE (Energy): T1 +3.4%, T6 +23.0%, T12 +35.4%, Persistence 5/5, Acceleration -0.4%, Persistent leadership
- DFSV (Small Value Profitability): T1 +3.5%, T6 +16.3%, T12 +34.9%, Persistence 5/5, Acceleration +0.8%, Decelerating leadership
- XLK (Technology): T1 -7.3%, T6 +21.5%, T12 +38.4%, Persistence 4/5, Acceleration -10.9%, Decelerating leadership
- IWM (Russell 2000): T1 +0.3%, T6 +13.6%, T12 +36.5%, Persistence 5/5, Acceleration -1.9%, Decelerating leadership
- SPMO (S&P 500 Momentum): T1 -7.8%, T6 +21.5%, T12 +30.0%, Persistence 4/5, Acceleration -11.4%, Decelerating leadership
- DBC (Commodities): T1 +0.9%, T6 +21.8%, T12 +32.0%, Persistence 4/5, Acceleration -2.8%, Persistent leadership
Weakest U.S. trend scores:
- GLD (Gold): T1 -8.0%, T6 -13.4%, T12 +19.0%, Persistence 1/5, Acceleration -5.7%, Long-term leader, short-term fading
- TLT (Long Treasuries): T1 -1.4%, T6 -1.9%, T12 +3.6%, Persistence 1/5, Acceleration -1.1%, Accelerating leadership
- XLC (Communication Services): T1 +0.7%, T6 -3.1%, T12 +7.6%, Persistence 2/5, Acceleration +1.2%, Emerging tactical leadership
- XLY (Consumer Discretionary): T1 -0.8%, T6 -5.2%, T12 +8.0%, Persistence 2/5, Acceleration +0.0%, Long-term leader, short-term fading
- LQD (Investment Grade Credit): T1 -1.0%, T6 -0.7%, T12 +4.4%, Persistence 1/5, Acceleration -0.9%, Long-term leader, short-term fading
- IEF (Intermediate Treasuries): T1 -0.3%, T6 -0.8%, T12 +3.7%, Persistence 1/5, Acceleration -0.1%, Long-term leader, short-term fading
- HYG (High Yield Credit): T1 +0.2%, T6 +1.4%, T12 +6.0%, Persistence 5/5, Acceleration -0.1%, Decelerating leadership
- USMV (Min Vol): T1 +0.8%, T6 +3.8%, T12 +7.0%, Persistence 5/5, Acceleration +0.2%, Decelerating leadership
7B/9 Global Leaders and Laggards Strongest global trend scores:
- EWJ (Japan): T1 -2.3%, T6 +9.4%, T12 +33.7%, Persistence 4/5, Acceleration -3.9%, Decelerating leadership
- EWC (Canada): T1 +0.8%, T6 +8.3%, T12 +30.8%, Persistence 5/5, Acceleration -0.6%, Decelerating leadership
- EEM (Emerging Markets): T1 -8.0%, T6 +12.2%, T12 +34.4%, Persistence 4/5, Acceleration -10.0%, Decelerating leadership
- ACWI (Global Equities): T1 -1.1%, T6 +8.6%, T12 +23.2%, Persistence 4/5, Acceleration -2.5%, Decelerating leadership
- VEA (Developed Markets ex-US): T1 -2.8%, T6 +9.2%, T12 +27.8%, Persistence 4/5, Acceleration -4.3%, Decelerating leadership
Weakest global trend scores:
- FXI (China Large Cap): T1 -1.7%, T6 -13.6%, T12 -6.6%, Persistence 0/5, Acceleration +0.6%, Accelerating leadership
- MCHI (China): T1 -1.4%, T6 -14.2%, T12 -2.7%, Persistence 0/5, Acceleration +0.9%, Accelerating leadership
- INDA (India): T1 -1.2%, T6 -8.2%, T12 -11.3%, Persistence 0/5, Acceleration +0.2%, Accelerating leadership
- EWG (Germany): T1 -1.4%, T6 -3.4%, T12 +0.6%, Persistence 2/5, Acceleration -0.9%, Long-term leader, short-term fading
- EWQ (France): T1 -1.2%, T6 +0.6%, T12 +9.2%, Persistence 4/5, Acceleration -1.4%, Decelerating leadership
8/9 Macro Snapshot
VIX16.73 (+1.06 d/d) as of 2026-07-16
3M Treasury3.84 (+0.01 d/d) as of 2026-07-16
2Y Treasury4.16 (+0.03 d/d) as of 2026-07-16
10Y Treasury4.57 (+0.02 d/d) as of 2026-07-16
10Y-2Y Curve0.41 (-0.01 d/d) as of 2026-07-16
HY Spread2.71 (-0.01 d/d) as of 2026-07-15
IG Spread0.79 (+0.00 d/d) as of 2026-07-15
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# The Market Fieldbook — Daily Market Snapshot - **Snapshot Date:** 2026-07-17 08:30 UTC - **Latest Market Data Date:** 2026-07-16 - **Current Regime:** Broad Risk-On - **Internal Health:** 74/100 (Stable) - **Regime Momentum:** 22/100 (Weakening) > How to read this report ## The market in one minute The current regime is Broad Risk-On, indicating a generally constructive risk backdrop. However, there are signs of mixed breadth and lagging growth leadership. While the risk appetite remains supportive, the recent deterioration in growth and momentum leadership suggests a potential shift in market dynamics. The primary watch item is the rising defensive demand, which could signal a change in investor sentiment if it continues. ## Current field read | Area | Current level | Recent direction | Plain-English interpretation | |---------------------------|---------------|------------------|---------------------------------------------------------------| | Risk-on appetite | 77 | Weakening | The risk-on appetite score has declined versus five snapshots ago. | | Defensive demand | 44 | Improving | Defensive demand is rising meaningfully versus recent runs. | | Growth leadership | 19 | Weakening | The growth leadership score has declined versus five snapshots ago. | | Small-cap participation | 56 | Weakening | The small-cap participation score has declined versus five snapshots ago. | | Momentum leadership | 18 | Weakening | The momentum leadership score has declined versus five snapshots ago. | | Credit risk appetite | 62 | Stable | The credit risk appetite score remains stable compared to five snapshots ago. | | Duration support | 42 | Stable | The duration support score remains stable compared to five snapshots ago. | ## What changed in the latest snapshot There have been no major regime or leadership changes compared to the prior observation. The mixed signals in breadth and the deterioration in growth and momentum leadership are notable, but they do not indicate a definitive trend shift at this point. ## What the pattern is saying 1. The risk backdrop remains constructive, but the weakening scores in growth and momentum leadership suggest caution. 2. Defensive demand is improving, which may indicate a shift in investor focus towards safer assets. 3. The breadth of the market is mixed, with some deterioration noted, particularly in small-cap participation. 4. Credit risk appetite remains stable, suggesting that investors are not overly concerned about credit risks at this time. 5. Overall, the lack of persistent signals indicates that the current changes may not yet represent a durable trend. ## Why this matters Academic factor portfolios separate broad market performance from returns associated with size, valuation, profitability, corporate investment, momentum, and reversal characteristics. ## What would change the conclusion A multi-signal invalidation condition would require persistent deterioration across multiple snapshots in key areas such as risk-on appetite, growth leadership, and breadth. Conversely, a sustained improvement in these areas could reinforce the current regime. ## What to watch in the next snapshots 1. Monitor the trajectory of defensive demand and its impact on market sentiment. 2. Watch for any signs of recovery in growth and momentum leadership. 3. Keep an eye on breadth metrics to assess overall market participation. 4. Observe credit risk appetite for any shifts that may indicate changing investor concerns. 5. Track volatility levels to gauge market stability. ## What weakened No canonical factor had a negative 1M return. ## One-month move versus broader pattern --- # Detailed Data Appendix Daily ETF + Macro Strategist Note Generated: 2026-07-17 08:30 UTC Latest ETF price date: 2026-07-16 Lookbacks: T1=trailing 1M, T3=trailing 3M, T6=trailing 6M, T9=trailing 9M, T12=trailing 12M 1/9 Strategist Summary Strategist summary: - Current regime read: Broad Risk-On. - ETF breadth: T1 59% | T3 74% | T6 82% | T12 100%. - QQQ vs SPY: -4.7% over T1. - RSP vs SPY: +1.7% over T1. - MTUM vs SPY: -8.8% over T1. - IWM vs SPY: +0.6% over T1. - HYG vs TLT: +1.6% over T1. - CMA-related quality/cash-generation proxy: QUAL vs SPY +1.0%, SPHQ vs SPY -3.0%, COWZ vs SPY +2.3% over T1. These are fresh ETF proxies for quality/cash-generation behavior, not substitutes for the Ken French CMA factor. - Reversal-related momentum-unwind proxy: MTUM vs SPY -8.8%, SPMO vs SPY -7.5%, VLUE vs MTUM +2.9% over T1. Weakening momentum leadership with value/recovery improvement can flag reversal pressure; this is a proxy, not the academic reversal factor. - Global vs U.S.: ACWI-SPY -0.8% over T1. - Ex-U.S. vs U.S.: VXUS-SPY -2.6% over T1. - Emerging markets vs U.S.: VWO-SPY -2.9% over T1. - Volatility is contained with VIX at 16.73. 2/9 What Changed Since Prior Run No major regime or leadership changes versus the prior run. 3/9 Tactical Signal Dashboard - Risk backdrop: constructive. - Breadth: mixed. - Growth leadership: lagging. - Equal-weight confirmation: confirming. - Credit: confirming risk appetite. - Volatility: contained. - Defensive demand: rising. 3B/9 Regime Transition Monitor - Defensive demand is rising meaningfully versus recent runs. Tactical warnings: - No major tactical warning signals currently detected. - Breadth deterioration warning: T1 breadth fell from 82% to 59% over 5 observations. 3C/9 Historical Context + Divergence - Concentration risk score: 22/100 (Low concentration risk / broad participation) Historical percentiles: - Risk appetite: 28th percentile - T1 breadth: 22nd percentile - QQQ vs SPY: 3rd percentile - RSP vs SPY: 41st percentile - Credit beta vs duration: 94th percentile - VIX: 47th percentile Regime momentum: - Risk appetite: deteriorating (-16.0 pts vs 5 runs ago) - Growth leadership: deteriorating (-30.0 pts vs 5 runs ago) - Momentum leadership: deteriorating (-40.0 pts vs 5 runs ago) - Small-cap participation: deteriorating (-7.0 pts vs 5 runs ago) - Breadth: deteriorating (-23.5 pts vs 5 runs ago) - Credit risk appetite: stable (+3.0 pts vs 5 runs ago) - Defensive demand: improving (+18.0 pts vs 5 runs ago) Statistical abnormality monitor: - Breadth is moderately abnormal (-1.4σ, below normal). - Mega-cap leadership is historically extreme (-2.1σ, below normal). - Equal-weight participation is normal (-0.5σ, below normal). - Small-cap participation is moderately abnormal (-1.4σ, below normal). - Credit participation is moderately abnormal (+1.2σ, above normal). Percentile monitor: - Breadth is below average (22nd percentile). - Mega-cap leadership is historically rare weakness (3rd percentile). - Equal-weight participation is near normal (41st percentile). - Small-cap participation is below average (28th percentile). - Credit participation is very strong (94th percentile). Signal deterioration monitor: - No persistent 3-run deterioration or improvement signals detected. 3D/9 Signal Defensibility Diagnostics - Market subregime: Broad Risk-On Credit diagnostics: - Spread stress: HY spreads appear calm at 2.71. - Credit ETF confirmation: HYG is outperforming TLT by +1.6% over T1. Defensive diagnostics: - Equity defensives: 4/4 confirming versus SPY or positive over T1. - Macro defensives: 1/4 confirming versus SPY or positive over T1. Duration diagnostics: - Treasury ETF trend: TLT T1 -1.4%; IEF T1 -0.3%. - Rate impulse: 2Y 4.16 (+0.03 d/d); 10Y 4.57 (+0.02 d/d); 10Y-2Y curve 0.41 (-0.01 d/d). 4/9 Market State Dashboard Market regime: Broad Risk-On Current regime duration: 1 run Internal health: 74/100 (Stable) Regime momentum: 22/100 (Weakening) Regime scorecard: - Risk-on appetite: 77/100 (MEDIUM confidence) - Defensive demand: 44/100 (LOW confidence) - Growth leadership: 19/100 (HIGH confidence) - Small-cap participation: 56/100 (LOW confidence) - Momentum leadership: 18/100 (HIGH confidence) - Real asset/inflation leadership: 47/100 (LOW confidence) - Credit risk appetite: 62/100 (LOW confidence) - Duration support: 42/100 (LOW confidence) Confirmation dashboard: Risk-on confirmations: 2/5 - No: SPY positive over T1 - No: QQQ outperforming SPY - Yes: HYG outperforming TLT - Yes: VIX below 20 - No: ETF breadth above 70% Defensive confirmations: 2/5 - Yes: USMV outperforming SPY - No: GLD outperforming SPY - Yes: XLU outperforming SPY - No: TLT positive over T1 - No: HY spreads widening 5/9 ETF Dashboard Market beta SPY (S&P 500): T1 -0.3%, T3 +7.5%, T6 +8.8%, T9 +14.2%, T12 +22.0% QQQ (Nasdaq 100): T1 -5.0%, T3 +10.9%, T6 +13.0%, T9 +17.7%, T12 +27.4% RSP (Equal Weight S&P 500): T1 +1.4%, T3 +8.1%, T6 +9.6%, T9 +16.5%, T12 +20.1% IWM (Russell 2000): T1 +0.3%, T3 +10.0%, T6 +13.6%, T9 +21.9%, T12 +36.5% DIA (Dow): T1 +1.5%, T3 +8.7%, T6 +7.5%, T9 +15.2%, T12 +21.1% Factor/style MTUM (Momentum): T1 -9.1%, T3 +12.5%, T6 +17.4%, T9 +19.7%, T12 +28.8% SPMO (S&P 500 Momentum): T1 -7.8%, T3 +14.9%, T6 +21.5%, T9 +20.7%, T12 +30.0% QUAL (Quality): T1 +0.7%, T3 +8.2%, T6 +8.8%, T9 +15.2%, T12 +22.0% SPHQ (S&P 500 Quality): T1 -3.3%, T3 +8.0%, T6 +11.4%, T9 +18.3%, T12 +22.4% COWZ (Free Cash Flow Yield): T1 +2.1%, T3 +5.0%, T6 +5.9%, T9 +17.5%, T12 +19.9% USMV (Min Vol): T1 +0.8%, T3 +3.7%, T6 +3.8%, T9 +4.2%, T12 +7.0% VLUE (Enhanced Value): T1 -6.1%, T3 +23.4%, T6 +33.2%, T9 +55.1%, T12 +70.6% VTV (Value): T1 +0.8%, T3 +8.9%, T6 +12.5%, T9 +20.5%, T12 +26.9% VUG (Growth): T1 -1.2%, T3 +7.1%, T6 +6.0%, T9 +8.6%, T12 +17.4% AVUV (Small Value): T1 +2.4%, T3 +10.0%, T6 +18.6%, T9 +30.6%, T12 +37.8% DFSV (Small Value Profitability): T1 +3.5%, T3 +10.3%, T6 +16.3%, T9 +29.3%, T12 +34.9% Sectors XLK (Technology): T1 -7.3%, T3 +18.3%, T6 +21.5%, T9 +25.0%, T12 +38.4% XLC (Communication Services): T1 +0.7%, T3 -3.8%, T6 -3.1%, T9 -0.1%, T12 +7.6% XLY (Consumer Discretionary): T1 -0.8%, T3 -0.5%, T6 -5.2%, T9 +1.0%, T12 +8.0% XLI (Industrials): T1 +1.1%, T3 +5.5%, T6 +10.4%, T9 +20.0%, T12 +21.7% XLF (Financials): T1 +6.3%, T3 +9.2%, T6 +5.6%, T9 +9.1%, T12 +11.6% XLE (Energy): T1 +3.4%, T3 +3.0%, T6 +23.0%, T9 +35.0%, T12 +35.4% XLB (Materials): T1 -2.7%, T3 -0.6%, T6 +5.3%, T9 +16.9%, T12 +16.3% XLV (Healthcare): T1 +6.3%, T3 +10.0%, T6 +4.1%, T9 +15.4%, T12 +24.2% XLP (Consumer Staples): T1 +1.1%, T3 +6.6%, T6 +7.1%, T9 +12.5%, T12 +10.1% XLU (Utilities): T1 +2.3%, T3 -0.6%, T6 +7.5%, T9 +2.2%, T12 +14.0% XLRE (Real Estate): T1 +1.9%, T3 +5.6%, T6 +12.8%, T9 +14.1%, T12 +13.8% Global/international ACWI (Global Equities): T1 -1.1%, T3 +5.8%, T6 +8.6%, T9 +15.2%, T12 +23.2% VXUS (Total International ex-US): T1 -2.9%, T3 +2.2%, T6 +8.2%, T9 +17.5%, T12 +25.9% VEA (Developed Markets ex-US): T1 -2.8%, T3 +2.5%, T6 +9.2%, T9 +19.9%, T12 +27.8% IEFA (EAFE Developed Markets): T1 -0.2%, T3 +2.0%, T6 +6.8%, T9 +15.5%, T12 +22.0% VWO (Emerging Markets): T1 -3.2%, T3 +1.4%, T6 +5.3%, T9 +11.2%, T12 +20.7% EEM (Emerging Markets): T1 -8.0%, T3 +3.7%, T6 +12.2%, T9 +22.4%, T12 +34.4% EWJ (Japan): T1 -2.3%, T3 +3.7%, T6 +9.4%, T9 +20.9%, T12 +33.7% EWU (United Kingdom): T1 +1.6%, T3 -0.3%, T6 +5.9%, T9 +15.7%, T12 +22.7% EWQ (France): T1 -1.2%, T3 +0.3%, T6 +0.6%, T9 +7.3%, T12 +9.2% EWG (Germany): T1 -1.4%, T3 -0.7%, T6 -3.4%, T9 +0.7%, T12 +0.6% MCHI (China): T1 -1.4%, T3 -6.1%, T6 -14.2%, T9 -12.9%, T12 -2.7% FXI (China Large Cap): T1 -1.7%, T3 -5.7%, T6 -13.6%, T9 -11.0%, T12 -6.6% INDA (India): T1 -1.2%, T3 -2.6%, T6 -8.2%, T9 -8.1%, T12 -11.3% EWC (Canada): T1 +0.8%, T3 +2.8%, T6 +8.3%, T9 +19.0%, T12 +30.8% EWA (Australia): T1 +0.1%, T3 -4.1%, T6 +9.9%, T9 +10.8%, T12 +13.3% Macro assets GLD (Gold): T1 -8.0%, T3 -17.1%, T6 -13.4%, T9 -3.5%, T12 +19.0% DBC (Commodities): T1 +0.9%, T3 -1.5%, T6 +21.8%, T9 +31.6%, T12 +32.0% TLT (Long Treasuries): T1 -1.4%, T3 -1.9%, T6 -1.9%, T9 -3.9%, T12 +3.6% IEF (Intermediate Treasuries): T1 -0.3%, T3 -1.0%, T6 -0.8%, T9 -0.5%, T12 +3.7% HYG (High Yield Credit): T1 +0.2%, T3 +0.7%, T6 +1.4%, T9 +3.7%, T12 +6.0% LQD (Investment Grade Credit): T1 -1.0%, T3 -1.1%, T6 -0.7%, T9 -0.5%, T12 +4.4% UUP (US Dollar): T1 +1.3%, T3 +3.8%, T6 +3.6%, T9 +4.7%, T12 +6.8% 6/9 Relative Leadership Growth/mega-cap vs broad market: QQQ-SPY | T1 -4.7%, T3 +3.3%, T6 +4.2%, T9 +3.5%, T12 +5.4% Equal-weight vs cap-weight: RSP-SPY | T1 +1.7%, T3 +0.6%, T6 +0.8%, T9 +2.3%, T12 -1.9% Small caps vs large caps: IWM-SPY | T1 +0.6%, T3 +2.5%, T6 +4.8%, T9 +7.7%, T12 +14.5% Momentum vs broad market: MTUM-SPY | T1 -8.8%, T3 +5.0%, T6 +8.6%, T9 +5.5%, T12 +6.8% S&P 500 momentum vs broad market: SPMO-SPY | T1 -7.5%, T3 +7.4%, T6 +12.7%, T9 +6.6%, T12 +8.0% Quality vs broad market: QUAL-SPY | T1 +1.0%, T3 +0.6%, T6 +0.1%, T9 +1.0%, T12 -0.0% S&P 500 quality vs broad market: SPHQ-SPY | T1 -3.0%, T3 +0.5%, T6 +2.6%, T9 +4.2%, T12 +0.4% Free-cash-flow yield vs broad market: COWZ-SPY | T1 +2.3%, T3 -2.6%, T6 -2.9%, T9 +3.4%, T12 -2.1% Minimum volatility vs broad market: USMV-SPY | T1 +1.1%, T3 -3.8%, T6 -5.0%, T9 -10.0%, T12 -15.0% Enhanced value vs momentum: VLUE-MTUM | T1 +2.9%, T3 +10.9%, T6 +15.8%, T9 +35.5%, T12 +41.8% Value vs growth: VTV-VUG | T1 +1.9%, T3 +1.8%, T6 +6.5%, T9 +11.8%, T12 +9.4% Consumer discretionary vs staples: XLY-XLP | T1 -1.9%, T3 -7.1%, T6 -12.3%, T9 -11.6%, T12 -2.2% Industrials vs utilities: XLI-XLU | T1 -1.2%, T3 +6.1%, T6 +2.9%, T9 +17.8%, T12 +7.7% Energy vs technology: XLE-XLK | T1 +10.7%, T3 -15.3%, T6 +1.5%, T9 +10.0%, T12 -3.0% Gold vs equities: GLD-SPY | T1 -7.7%, T3 -24.7%, T6 -22.2%, T9 -17.6%, T12 -3.0% Credit beta vs duration: HYG-TLT | T1 +1.6%, T3 +2.6%, T6 +3.4%, T9 +7.5%, T12 +2.4% Global equities vs U.S.: ACWI-SPY | T1 -0.8%, T3 -1.8%, T6 -0.2%, T9 +1.0%, T12 +1.2% Ex-U.S. equities vs U.S.: VXUS-SPY | T1 -2.6%, T3 -5.4%, T6 -0.6%, T9 +3.3%, T12 +3.9% Developed ex-U.S. vs U.S.: VEA-SPY | T1 -2.5%, T3 -5.1%, T6 +0.4%, T9 +5.8%, T12 +5.8% EAFE developed markets vs U.S.: IEFA-SPY | T1 +0.1%, T3 -5.5%, T6 -2.0%, T9 +1.3%, T12 -0.0% Emerging markets vs U.S.: VWO-SPY | T1 -2.9%, T3 -6.1%, T6 -3.5%, T9 -2.9%, T12 -1.3% Emerging markets vs developed ex-U.S.: VWO-VEA | T1 -0.4%, T3 -1.1%, T6 -4.0%, T9 -8.7%, T12 -7.1% Japan vs EAFE developed markets: EWJ-IEFA | T1 -2.1%, T3 +1.8%, T6 +2.6%, T9 +5.4%, T12 +11.7% China vs emerging markets: MCHI-VWO | T1 +1.7%, T3 -7.5%, T6 -19.5%, T9 -24.1%, T12 -23.4% India vs emerging markets: INDA-VWO | T1 +2.0%, T3 -4.0%, T6 -13.5%, T9 -19.3%, T12 -32.0% 6B/9 Global / International Confirmation Global risk appetite score: 41/100 (Mixed global confirmation) Global relative leadership: - Global equities vs U.S.: ACWI-SPY -0.8% over T1 - Ex-U.S. equities vs U.S.: VXUS-SPY -2.6% over T1 - Developed ex-U.S. vs U.S.: VEA-SPY -2.5% over T1 - EAFE developed markets vs U.S.: IEFA-SPY +0.1% over T1 - Emerging markets vs U.S.: VWO-SPY -2.9% over T1 - Emerging markets vs developed ex-U.S.: VWO-VEA -0.4% over T1 - Japan vs EAFE developed markets: EWJ-IEFA -2.1% over T1 - China vs emerging markets: MCHI-VWO +1.7% over T1 - India vs emerging markets: INDA-VWO +2.0% over T1 - Dollar backdrop: UUP T1 +1.3% Global read-through: global equities are lagging U.S. equities; ex-U.S. equities are not confirming U.S. leadership; emerging markets are lagging; developed ex-U.S. is leading EM. 7/9 U.S. Leaders and Laggards Strongest U.S. trend scores: + VLUE (Enhanced Value): T1 -6.1%, T6 +33.2%, T12 +70.6%, Persistence 4/5, Acceleration -11.7%, Decelerating leadership + AVUV (Small Value): T1 +2.4%, T6 +18.6%, T12 +37.8%, Persistence 5/5, Acceleration -0.7%, Decelerating leadership + XLE (Energy): T1 +3.4%, T6 +23.0%, T12 +35.4%, Persistence 5/5, Acceleration -0.4%, Persistent leadership + DFSV (Small Value Profitability): T1 +3.5%, T6 +16.3%, T12 +34.9%, Persistence 5/5, Acceleration +0.8%, Decelerating leadership + XLK (Technology): T1 -7.3%, T6 +21.5%, T12 +38.4%, Persistence 4/5, Acceleration -10.9%, Decelerating leadership + IWM (Russell 2000): T1 +0.3%, T6 +13.6%, T12 +36.5%, Persistence 5/5, Acceleration -1.9%, Decelerating leadership + SPMO (S&P 500 Momentum): T1 -7.8%, T6 +21.5%, T12 +30.0%, Persistence 4/5, Acceleration -11.4%, Decelerating leadership + DBC (Commodities): T1 +0.9%, T6 +21.8%, T12 +32.0%, Persistence 4/5, Acceleration -2.8%, Persistent leadership Weakest U.S. trend scores: - GLD (Gold): T1 -8.0%, T6 -13.4%, T12 +19.0%, Persistence 1/5, Acceleration -5.7%, Long-term leader, short-term fading - TLT (Long Treasuries): T1 -1.4%, T6 -1.9%, T12 +3.6%, Persistence 1/5, Acceleration -1.1%, Accelerating leadership - XLC (Communication Services): T1 +0.7%, T6 -3.1%, T12 +7.6%, Persistence 2/5, Acceleration +1.2%, Emerging tactical leadership - XLY (Consumer Discretionary): T1 -0.8%, T6 -5.2%, T12 +8.0%, Persistence 2/5, Acceleration +0.0%, Long-term leader, short-term fading - LQD (Investment Grade Credit): T1 -1.0%, T6 -0.7%, T12 +4.4%, Persistence 1/5, Acceleration -0.9%, Long-term leader, short-term fading - IEF (Intermediate Treasuries): T1 -0.3%, T6 -0.8%, T12 +3.7%, Persistence 1/5, Acceleration -0.1%, Long-term leader, short-term fading - HYG (High Yield Credit): T1 +0.2%, T6 +1.4%, T12 +6.0%, Persistence 5/5, Acceleration -0.1%, Decelerating leadership - USMV (Min Vol): T1 +0.8%, T6 +3.8%, T12 +7.0%, Persistence 5/5, Acceleration +0.2%, Decelerating leadership 7B/9 Global Leaders and Laggards Strongest global trend scores: + EWJ (Japan): T1 -2.3%, T6 +9.4%, T12 +33.7%, Persistence 4/5, Acceleration -3.9%, Decelerating leadership + EWC (Canada): T1 +0.8%, T6 +8.3%, T12 +30.8%, Persistence 5/5, Acceleration -0.6%, Decelerating leadership + EEM (Emerging Markets): T1 -8.0%, T6 +12.2%, T12 +34.4%, Persistence 4/5, Acceleration -10.0%, Decelerating leadership + ACWI (Global Equities): T1 -1.1%, T6 +8.6%, T12 +23.2%, Persistence 4/5, Acceleration -2.5%, Decelerating leadership + VEA (Developed Markets ex-US): T1 -2.8%, T6 +9.2%, T12 +27.8%, Persistence 4/5, Acceleration -4.3%, Decelerating leadership Weakest global trend scores: - FXI (China Large Cap): T1 -1.7%, T6 -13.6%, T12 -6.6%, Persistence 0/5, Acceleration +0.6%, Accelerating leadership - MCHI (China): T1 -1.4%, T6 -14.2%, T12 -2.7%, Persistence 0/5, Acceleration +0.9%, Accelerating leadership - INDA (India): T1 -1.2%, T6 -8.2%, T12 -11.3%, Persistence 0/5, Acceleration +0.2%, Accelerating leadership - EWG (Germany): T1 -1.4%, T6 -3.4%, T12 +0.6%, Persistence 2/5, Acceleration -0.9%, Long-term leader, short-term fading - EWQ (France): T1 -1.2%, T6 +0.6%, T12 +9.2%, Persistence 4/5, Acceleration -1.4%, Decelerating leadership 8/9 Macro Snapshot VIX: 16.73 (+1.06 d/d) as of 2026-07-16 3M Treasury: 3.84 (+0.01 d/d) as of 2026-07-16 2Y Treasury: 4.16 (+0.03 d/d) as of 2026-07-16 10Y Treasury: 4.57 (+0.02 d/d) as of 2026-07-16 10Y-2Y Curve: 0.41 (-0.01 d/d) as of 2026-07-16 HY Spread: 2.71 (-0.01 d/d) as of 2026-07-15 IG Spread: 0.79 (+0.00 d/d) as of 2026-07-15