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.
1. Shiller CAPE Ratio
Cyclically adjusted PE — long-run US equity valuation
2. Equity Risk Premium
Earnings yield (1/CAPE) minus 10Y real yield — positive = equities attractive
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
