Factor Strategy
Style-Factor Rotation Matrix
Trailing returns for major US equity factors (Value, Growth, Small Cap, Low Vol, Momentum, Quality) vs the S&P 500 benchmark across 1M, 3M, 6M, and 12M windows. Toggle between excess return and absolute return views. Sparklines show 3-month relative return trend.
| Factor | ETF | 1M | 3M | 6M | 12M | 3M Trend |
|---|---|---|---|---|---|---|
| Value | IWD | +5.5% | +2.9% | +7.6% | +16.5% | |
| Growth | IWF | -5.6% | -3.5% | -7.5% | -14.8% | |
| Small Cap | IJR | +3.1% | -4.6% | -2.1% | +8.5% | |
| Low Vol | SPLV | +10.0% | +2.6% | -0.7% | -1.9% | |
| Momentum | MTUM | -10.2% | -7.4% | -5.5% | +0.4% | |
| Quality | QUAL | +0.9% | +0.9% | +2.6% | +1.8% |
Source: Yahoo Finance via yfinance · Updated hourly · Absolute and relative (vs SPY) trailing returns for major U.S. equity style factors. Relative = factor return minus S&P 500 return for the same period. Positive = outperformed benchmark.
1. Shiller CAPE Ratio
Cyclically adjusted PE — long-run US equity valuation
3. Yield Gap / Fed Model
S&P earnings yield vs 10Y nominal yield
4. Buffett Indicator
Total market cap / GDP — Warren Buffett's favorite valuation metric
5. US High Yield Credit Spread
ICE BofA HY OAS — wide = stress, narrow = complacency
6. US Investment Grade Credit Spread
ICE BofA IG Corporate OAS
7. Financial Conditions Index (NFCI)
Chicago Fed NFCI — above zero = tight, below zero = loose
8. Yield Curve (10Y - 2Y)
Treasury yield curve spread — negative = inverted (recession flag)
9. Market Breadth (RSP / SPY)
Equal-weight vs cap-weight — falling = narrowing leadership
10. Cyclical vs Defensive (XLY / XLP)
Consumer Discretionary vs Staples — rising = risk-on rotation
