# The Market Fieldbook — Monthly Factor Snapshot

- **Generated Date:** 2026-08-03 09:05 UTC  
- **Latest Ken French Data Date:** 2026-06-30  
- **Data Lag:** 34 days  
- **Current Market Regime:** Mixed / Transitional  

> How to read this report

## Factors in one minute

The most notable factor conclusion is that **Mkt-RF** is classified as positive across all four displayed horizons, indicating strong market excess returns. In contrast, **RMW** is negative across all four horizons, reflecting persistent underperformance of more profitable companies relative to less profitable ones. Additionally, **SMB** and **HML** show mixed patterns, with **SMB** positive over 1Y but negative over shorter horizons, while **HML** is positive over 3M, 6M, and 1Y but negative over 1M. The main factor contrast to monitor is the divergence between **Momentum**, which remains positive across all horizons, and **RMW**, which consistently shows negative returns.

## 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 | +6.1%  | +9.3%  | +10.1% | +25.1% | Positive across all four displayed horizons.                   |
| SMB               | small companies versus large companies                    | -0.6%  | -1.0%  | -0.1%  | +2.6%  | Mixed pattern: positive over 1Y; negative over 1M, 3M, 6M.    |
| HML               | value stocks versus growth stocks                         | -2.8%  | +0.0%  | +9.3%  | +10.6% | Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M.    |
| RMW               | more profitable companies versus less profitable companies| -8.8%  | -13.6% | -11.3% | -19.2% | Negative across all four displayed horizons.                   |
| CMA               | conservative corporate investment versus aggressive corporate investment | -0.8%  | -5.1%  | +1.8%  | -2.7%  | Mixed pattern: positive over 6M; negative over 1M, 3M, 1Y.    |
| Momentum          | recent winners versus recent losers                       | +3.7%  | +14.9% | +21.6% | +21.4% | Positive across all four displayed horizons.                   |
| Short-Term Reversal | recent losers versus recent winners                     | -3.4%  | +1.8%  | +1.1%  | -4.1%  | Mixed pattern: positive over 3M, 6M; negative over 1M, 1Y.    |
| Long-Term Reversal | long-term losers versus long-term winners                | +5.5%  | +7.5%  | +9.4%  | +2.7%  | Positive across all four displayed horizons.                   |

## What was rewarded

- **Mkt-RF**: The broad stock-market excess return over the risk-free rate was +6.1% in 1M, with a strong context of +9.3% over 3M, +10.1% over 6M, and +25.1% over 1Y, indicating consistent positive performance.
- **Momentum**: Recent winners versus recent losers returned +3.7% in 1M, supported by +14.9% over 3M, +21.6% over 6M, and +21.4% over 1Y, reflecting a strong upward trend.
- **Long-Term Reversal**: Long-term losers versus long-term winners achieved +5.5% in 1M, with positive returns of +7.5% over 3M, +9.4% over 6M, and +2.7% over 1Y, indicating a consistent positive pattern.

## What weakened

- **SMB:** small companies versus large companies returned -0.6% over 1M, -1.0% over 3M, -0.1% over 6M, and +2.6% over 1Y. Mixed pattern: positive over 1Y; negative over 1M, 3M, 6M.
- **HML:** value stocks versus growth stocks returned -2.8% over 1M, +0.0% over 3M, +9.3% over 6M, and +10.6% over 1Y. Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M.
- **RMW:** more profitable companies versus less profitable companies returned -8.8% over 1M, -13.6% over 3M, -11.3% over 6M, and -19.2% over 1Y. Negative across all four displayed horizons.
- **CMA:** conservative corporate investment versus aggressive corporate investment returned -0.8% over 1M, -5.1% over 3M, +1.8% over 6M, and -2.7% over 1Y. Mixed pattern: positive over 6M; negative over 1M, 3M, 1Y.
- **Short-Term Reversal:** recent losers versus recent winners returned -3.4% over 1M, +1.8% over 3M, +1.1% over 6M, and -4.1% over 1Y. Mixed pattern: positive over 3M, 6M; negative over 1M, 1Y.

## One-month move versus broader pattern

- **Persistent positive patterns:** Mkt-RF, Momentum, Long-Term Reversal were positive over 1M, 3M, 6M, and 1Y.
- **Persistent negative patterns:** RMW was negative over 1M, 3M, 6M, and 1Y.
- **Mixed patterns:** SMB, HML, CMA, Short-Term Reversal had differing signs across the displayed horizons.

## Market regime and factors together

The current market regime is classified as Mixed / Transitional. The evidence from canonical factors shows a mix of positive and negative signals, with **Mkt-RF** and **Momentum** supporting the regime, while **RMW** and **HML** complicate 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, Momentum, Long-Term Reversal.

The factors negative across all four displayed horizons were RMW.

The remaining mixed factors should be interpreted by their individual lookbacks rather than as persistent trends.

## What would change the conclusion

- The **momentum** conclusion changes if Momentum becomes negative across repeated observations and multiple horizons.
- The **profitability** conclusion changes if RMW becomes positive across repeated observations and several horizons.
- The broader **regime** conclusion changes only if multiple supplied regime and factor signals deteriorate together.

## What to watch next month

1. Monitor the performance of **RMW** for signs of recovery.
2. Observe the consistency of **Mkt-RF** and **Momentum** in maintaining positive returns.
3. Track the developments in **HML** and **CMA** for potential shifts in value dynamics. 

## 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.

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# Detailed Factor Appendix

Ken French Factor Regime Report
Generated: 2026-08-03 09:05 UTC
Latest Ken French data date: 2026-06-30
Data lag: 34 days

1/3 Executive Dashboard
Market regime: Mixed / Transitional

Daily institutional factor universe: 1M 55% | 3M 79% | 6M 84% | 1Y 93%
Canonical core factors: 1M 38% | 3M 62% | 6M 75% | 1Y 62%
Industries: 1M 57% | 3M 38% | 6M 75% | 1Y 81%
Style portfolios: 1M 86% | 3M 83% | 6M 93% | 1Y 97%

Regime scorecard:
- Risk-on: 82/100 (HIGH confidence)
- Defensive rotation: 1/100 (LOW confidence)
- Value leadership: 50/100 (LOW confidence)
- Small-cap leadership: 46/100 (LOW confidence)
- Momentum durability: 75/100 (HIGH confidence)
- Real asset/inflation leadership: 72/100 (MEDIUM confidence)

Regime signals:
- HML exceeds SMB over the selected intermediate lookbacks; see the canonical factor dashboard for the exact periods.
- 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 +0.2%, 5D +2.0%, 1M +6.1%, 3M +9.3%, 6M +10.1%, YTD +9.1%, 1Y +25.1%, 3Y +65.3%, 5Y +57.1%, 10Y +248.4%, DD -10.1%, 6M pctile 70
Core Factor / Size: 1D -0.8%, 5D +0.7%, 1M -0.6%, 3M -1.0%, 6M -0.1%, YTD +1.4%, 1Y +2.6%, 3Y -16.7%, 5Y -26.4%, 10Y -17.9%, DD -6.1%, 6M pctile 51
Core Factor / Value: 1D -0.3%, 5D -0.8%, 1M -2.8%, 3M +0.0%, 6M +9.3%, YTD +6.6%, 1Y +10.6%, 3Y +12.6%, 5Y +16.5%, 10Y -15.4%, DD -5.7%, 6M pctile 84
Core Factor / Profitability/Quality: 1D -0.7%, 5D -3.3%, 1M -8.8%, 3M -13.6%, 6M -11.3%, YTD -10.6%, 1Y -19.2%, 3Y -15.3%, 5Y +3.8%, 10Y +12.5%, DD -19.4%, 6M pctile 2
Core Factor / Conservative Investment: 1D +0.2%, 5D +0.2%, 1M -0.8%, 3M -5.1%, 6M +1.8%, YTD +1.5%, 1Y -2.7%, 3Y -17.4%, 5Y -1.7%, 10Y -13.5%, DD -8.1%, 6M pctile 55
Core Factor / Momentum: 1D -1.7%, 5D -1.2%, 1M +3.7%, 3M +14.9%, 6M +21.6%, YTD +22.1%, 1Y +21.4%, 3Y +51.8%, 5Y +65.8%, 10Y +31.0%, DD -6.8%, 6M pctile 97
Core Factor / Short-Term Reversal: 1D -0.4%, 5D -1.3%, 1M -3.4%, 3M +1.8%, 6M +1.1%, YTD -4.9%, 1Y -4.1%, 3Y +9.6%, 5Y -2.2%, 10Y +51.5%, DD -9.0%, 6M pctile 12
Core Factor / Long-Term Reversal: 1D -0.5%, 5D +2.3%, 1M +5.5%, 3M +7.5%, 6M +9.4%, YTD +8.4%, 1Y +2.7%, 3Y -4.1%, 5Y +3.9%, 10Y -22.7%, DD -10.7%, 6M pctile 88

3/3 Themes + Clean Portfolio Leadership
Leading themes:
+ Industry / Real Assets / Inflation Sensitive: avg 1M -1.5%, avg 6M +22.0%, avg 1Y +47.0%, 6M breadth 100%
+ Style Portfolio / Size Complex: avg 1M +5.1%, avg 6M +14.3%, avg 1Y +32.7%, 6M breadth 95%
+ Style Portfolio / Investment Complex: avg 1M +5.1%, avg 6M +15.4%, avg 1Y +32.1%, 6M breadth 95%
+ Core Factor / Momentum: avg 1M +3.7%, avg 6M +21.6%, avg 1Y +21.4%, 6M breadth 100%
+ Style Portfolio / Value vs Growth Complex: avg 1M +4.0%, avg 6M +13.1%, avg 1Y +28.9%, 6M breadth 89%
+ Style Portfolio / Profitability Complex: avg 1M +4.3%, avg 6M +13.0%, avg 1Y +27.1%, 6M breadth 91%
+ Core Factor / Market Beta: avg 1M +6.1%, avg 6M +10.1%, avg 1Y +25.1%, 6M breadth 100%
+ Industry / Growth / Technology: avg 1M +6.2%, avg 6M +4.7%, avg 1Y +23.9%, 6M breadth 80%

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 ME OP 5x5
  Meaning: Size quintile 5 (largest stocks); Profitability quintile 1 (lowest profitability). Portfolio 21 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +23.7%, 6M +39.4%, 1Y +65.8%
  Read-through: Useful for reading whether low- or high-profitability 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 +4.6%, 6M +48.6%, 1Y +79.3%
  Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: International / Regional.
+ Regional raw Ken French bucket - North America 25 Portfolios ME Prior 250 20
  Meaning: Size quintile 5 (largest stocks); characteristic quintile 5. Portfolio 25 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +6.0%, 6M +48.1%, 1Y +69.0%
  Read-through: Shows where factor leadership or weakness is concentrated beneath the broad market. Theme tag: International / Regional.
+ 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 +5.8%, 6M +49.7%, 1Y +76.2%
  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 ME OP 5x5
  Meaning: Size quintile 4 (larger stocks); Profitability quintile 1 (lowest profitability). Portfolio 16 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +18.4%, 6M +41.5%, 1Y +75.7%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Profitability Complex.
+ 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 +5.2%, 6M +45.3%, 1Y +75.3%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: International / Regional.

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 - MedEq
  Meaning: Medical equipment and healthcare equipment companies
  Returns: 1M -3.6%, 6M -24.2%, 1Y -23.5%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.
- Core Factor / Profitability/Quality
  Meaning: Academic Ken French research portfolio. Useful for factor diagnostics, not directly investable.
  Returns: 1M -8.8%, 6M -11.3%, 1Y -19.2%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Quality/Profitability.
- Industry - Wood
  Meaning: Wood products and related building-materials companies
  Returns: 1M -1.8%, 6M -13.5%, 1Y -13.9%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.
- Regional raw Ken French bucket - North America 5 Factors
  Meaning: Academic Ken French research portfolio. Useful for factor diagnostics, not directly investable.
  Returns: 1M -5.4%, 6M -10.6%, 1Y -16.7%
  Read-through: Shows where factor leadership or weakness is concentrated beneath the broad market. Theme tag: International / Regional.
- Regional raw Ken French bucket - Asia Pacific ex Japan 25 Portfolios ME Prior 250 20
  Meaning: Size quintile 2 (smaller stocks); characteristic quintile 1. Portfolio 6 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M -8.1%, 6M -21.7%, 1Y -7.6%
  Read-through: Shows where factor leadership or weakness is concentrated beneath the broad market. Theme tag: International / Regional.
- Industry - Fun
  Meaning: Fun industry portfolio
  Returns: 1M -2.9%, 6M -12.2%, 1Y -18.1%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.