# The Market Fieldbook — Monthly Factor Snapshot

- **Generated Date:** 2026-09-03 09:04 UTC  
- **Latest Ken French Data Date:** 2026-07-31  
- **Data Lag:** 34 days  
- **Current Market Regime:** Correction Inside Longer-Term Uptrend  

> How to read this report

## Factors in one minute

The following factors are classified as positive across all four displayed horizons:
- **SMB** (small companies versus large companies)
- **Momentum** (recent winners versus recent losers)
- **Long-Term Reversal** (long-term losers versus long-term winners)

The following factors are classified as negative across all four displayed horizons:
- **RMW** (more profitable companies versus less profitable companies)
- **Short-Term Reversal** (recent losers versus recent winners)

The most important mixed factor is:
- **HML** (value stocks versus growth stocks), which is positive over 1M, 6M, and 1Y but negative over 3M.

The main factor contrast to monitor is the **Mkt-RF** (broad stock-market excess return over the risk-free rate), which shows a mixed pattern with a negative 1M return but positive results 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  | -1.1% | +17.5%| +6.5% | +18.3%| Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M.     |
| SMB        | small companies versus large companies                      | +3.5% | +2.7% | +4.2% | +5.6% | Positive across all four displayed horizons.                    |
| HML        | value stocks versus growth stocks                           | +3.3% | -1.7% | +10.4%| +15.6%| Mixed pattern: positive over 1M, 6M, 1Y; negative over 3M.     |
| RMW        | more profitable companies versus less profitable companies  | -4.9% | -17.1%| -14.5%| -21.3%| Negative across all four displayed horizons.                    |
| CMA        | conservative corporate investment versus aggressive corporate investment | +3.4% | -2.7% | +5.1% | -0.4% | Mixed pattern: positive over 1M, 6M; negative over 3M, 1Y.     |
| Momentum   | recent winners versus recent losers                         | +5.1% | +21.3%| +27.9%| +28.4%| Positive across all four displayed horizons.                    |
| Short-Term Reversal | recent losers versus recent winners                  | -3.4% | -4.0% | -7.3% | -7.1% | Negative across all four displayed horizons.                    |
| Long-Term Reversal | long-term losers versus long-term winners            | +3.6% | +16.0%| +12.7%| +10.6%| Positive across all four displayed horizons.                    |

## What was rewarded

- **SMB** (small companies versus large companies) had a 1M return of +3.5%, which is positive across all horizons with 3M, 6M, and 1Y returns of +2.7%, +4.2%, and +5.6%, respectively.
- **Momentum** (recent winners versus recent losers) achieved a 1M return of +5.1%, maintaining positive performance across all horizons with 3M, 6M, and 1Y returns of +21.3%, +27.9%, and +28.4%.
- **Long-Term Reversal** (long-term losers versus long-term winners) recorded a 1M return of +3.6%, positive over all horizons, with 3M, 6M, and 1Y returns of +16.0%, +12.7%, and +10.6%.
- **HML** (value stocks versus growth stocks) had a 1M return of +3.3%, positive over 1M, 6M, and 1Y, but negative over 3M with a return of -1.7%.

## What weakened

- **Mkt-RF:** broad stock-market excess return over the risk-free rate returned -1.1% over 1M, +17.5% over 3M, +6.5% over 6M, and +18.3% over 1Y. Mixed pattern: positive over 3M, 6M, 1Y; negative over 1M.
- **RMW:** more profitable companies versus less profitable companies returned -4.9% over 1M, -17.1% over 3M, -14.5% over 6M, and -21.3% over 1Y. Negative across all four displayed horizons.
- **Short-Term Reversal:** recent losers versus recent winners returned -3.4% over 1M, -4.0% over 3M, -7.3% over 6M, and -7.1% over 1Y. Negative across all four displayed horizons.

## One-month move versus broader pattern

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

## Market regime and factors together

The current market regime is classified as "Correction Inside Longer-Term Uptrend." The evidence from the canonical factors shows a mixed pattern, with some factors like SMB and Momentum supporting the regime, while RMW and Short-Term Reversal indicate weakness.

## 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 SMB, Momentum, Long-Term Reversal.

The factors negative across all four displayed horizons were RMW, 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 negative across repeated observations and multiple horizons.
- The **RMW** conclusion remains negative if it continues across repeated observations and multiple 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 **HML** for consistency across horizons.
2. Observe any changes in the **RMW** factor to assess potential shifts in profitability trends.
3. Track the **Mkt-RF** for signs of stabilization or further deterioration.
4. Evaluate the persistence of **SMB** and **Momentum** in the context of the current market regime. 

## 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: 2026-09-03 09:04 UTC
Latest Ken French data date: 2026-07-31
Data lag: 34 days

1/3 Executive Dashboard
Market regime: Correction Inside Longer-Term Uptrend

Daily institutional factor universe: 1M 74% | 3M 84% | 6M 86% | 1Y 92%
Canonical core factors: 1M 62% | 3M 50% | 6M 75% | 1Y 62%
Industries: 1M 61% | 3M 76% | 6M 74% | 1Y 82%
Style portfolios: 1M 82% | 3M 98% | 6M 92% | 1Y 96%

Regime scorecard:
- Risk-on: 69/100 (MEDIUM confidence)
- Defensive rotation: 11/100 (LOW confidence)
- Value leadership: 44/100 (LOW confidence)
- Small-cap leadership: 60/100 (MEDIUM confidence)
- Momentum durability: 78/100 (HIGH confidence)
- Real asset/inflation leadership: 65/100 (MEDIUM confidence)

Regime signals:
- 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 +0.7%, 5D +1.9%, 1M -1.1%, 3M +17.5%, 6M +6.5%, YTD +8.0%, 1Y +18.3%, 3Y +56.3%, 5Y +51.1%, 10Y +236.1%, DD -10.1%, 6M pctile 56
Core Factor / Size: 1D +0.1%, 5D +2.5%, 1M +3.5%, 3M +2.7%, 6M +4.2%, YTD +5.0%, 1Y +5.6%, 3Y -13.4%, 5Y -26.3%, 10Y -18.4%, DD -6.1%, 6M pctile 73
Core Factor / Value: 1D -0.6%, 5D -1.8%, 1M +3.3%, 3M -1.7%, 6M +10.4%, YTD +10.1%, 1Y +15.6%, 3Y +21.3%, 5Y +30.1%, 10Y -10.5%, DD -5.8%, 6M pctile 86
Core Factor / Profitability/Quality: 1D -1.1%, 5D -2.8%, 1M -4.9%, 3M -17.1%, 6M -14.5%, YTD -15.0%, 1Y -21.3%, 3Y -20.7%, 5Y +0.8%, 10Y +6.3%, DD -21.7%, 6M pctile 1
Core Factor / Conservative Investment: 1D -0.5%, 5D +0.2%, 1M +3.4%, 3M -2.7%, 6M +5.1%, YTD +5.0%, 1Y -0.4%, 3Y -11.0%, 5Y +4.1%, 10Y -11.1%, DD -8.1%, 6M pctile 80
Core Factor / Momentum: 1D +1.1%, 5D +0.0%, 1M +5.1%, 3M +21.3%, 6M +27.9%, YTD +28.3%, 1Y +28.4%, 3Y +60.9%, 5Y +71.3%, 10Y +40.8%, DD -5.8%, 6M pctile 99
Core Factor / Short-Term Reversal: 1D +0.5%, 5D -3.9%, 1M -3.4%, 3M -4.0%, 6M -7.3%, YTD -8.2%, 1Y -7.1%, 3Y +8.6%, 5Y -2.4%, 10Y +41.3%, DD -9.6%, 6M pctile 1
Core Factor / Long-Term Reversal: 1D -0.2%, 5D +2.3%, 1M +3.6%, 3M +16.0%, 6M +12.7%, YTD +12.4%, 1Y +10.6%, 3Y +0.3%, 5Y +8.2%, 10Y -22.0%, DD -7.5%, 6M pctile 92

3/3 Themes + Clean Portfolio Leadership
Leading themes:
+ Core Factor / Momentum: avg 1M +5.1%, avg 6M +27.9%, avg 1Y +28.4%, 6M breadth 100%
+ Industry / Growth / Technology: avg 1M +1.7%, avg 6M +12.5%, avg 1Y +35.3%, 6M breadth 57%
+ Style Portfolio / Investment Complex: avg 1M +4.3%, avg 6M +16.5%, avg 1Y +31.9%, 6M breadth 95%
+ Style Portfolio / Size Complex: avg 1M +3.8%, avg 6M +15.3%, avg 1Y +31.9%, 6M breadth 95%
+ Style Portfolio / Profitability Complex: avg 1M +3.5%, avg 6M +13.4%, avg 1Y +26.5%, 6M breadth 88%
+ Industry / Cyclical Equity: avg 1M +2.9%, avg 6M +10.8%, avg 1Y +26.4%, 6M breadth 85%
+ Style Portfolio / Value vs Growth Complex: avg 1M +1.7%, avg 6M +10.6%, avg 1Y +24.9%, 6M breadth 89%
+ Core Factor / Market Beta: avg 1M -1.1%, avg 6M +6.5%, avg 1Y +18.3%, 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 ME Prior 60 13
  Meaning: Size quintile 5 (largest stocks); characteristic quintile 1. Portfolio 21 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +12.5%, 6M +59.1%, 1Y +66.6%
  Read-through: Shows where factor leadership or weakness is concentrated beneath the broad market. Theme tag: Size Complex.
+ Raw sort bucket - Portfolios Formed on OP | Profitability Sort | Portfolio 10
  Meaning: Academic Ken French research portfolio. Useful for factor diagnostics, not directly investable.
  Returns: 1M +6.5%, 6M +48.5%, 1Y +75.8%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Profitability Complex.
+ Raw Ken French bucket - 100 Portfolios ME OP 10x10
  Meaning: Size decile 3 (smaller stocks); Profitability decile 3 (lower profitability). Portfolio 23 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +18.0%, 6M +53.7%, 1Y +73.1%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Profitability Complex.
+ Raw Ken French bucket - 100 Portfolios ME INV 10x10
  Meaning: Size decile 6 (mid-sized stocks); Investment decile 2 (lower investment). Portfolio 52 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M +10.4%, 6M +46.1%, 1Y +79.3%
  Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Investment Complex.
+ 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 +20.2%, 6M +37.5%, 1Y +75.0%
  Read-through: Useful for reading whether conservative-investment or aggressive-investment stock buckets are leading. Theme tag: Investment Complex.
+ 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 +6.1%, 6M +43.1%, 1Y +58.2%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Profitability 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 - Fun
  Meaning: Fun industry portfolio
  Returns: 1M -9.4%, 6M -16.4%, 1Y -32.1%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.
- Industry - Games
  Meaning: Games industry portfolio
  Returns: 1M -8.7%, 6M -15.4%, 1Y -30.1%
  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 -4.9%, 6M -14.5%, 1Y -21.3%
  Read-through: Useful for reading whether low- or high-profitability stock buckets are leading. Theme tag: Quality/Profitability.
- Industry - Phone
  Meaning: Phone industry portfolio
  Returns: 1M -12.8%, 6M -8.2%, 1Y -16.6%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.
- Regional raw Ken French bucket - Asia Pacific ex Japan 25 Portfolios ME Prior 250 20
  Meaning: Size quintile 4 (larger stocks); characteristic quintile 5. Portfolio 20 is a narrow academic research bucket, not an investable ticker.
  Returns: 1M -5.3%, 6M -19.7%, 1Y -7.2%
  Read-through: Shows where factor leadership or weakness is concentrated beneath the broad market. Theme tag: International / Regional.
- Industry - MedEq
  Meaning: Medical equipment and healthcare equipment companies
  Returns: 1M +0.9%, 6M -22.0%, 1Y -23.3%
  Read-through: This is an industry-level leadership/laggard signal rather than a factor-sort bucket.