Daily Movers: Value Factor VLUE Surged 4.0%

Thursday registered as a selective pro-cyclical rotation, with the strongest impulse in Value VLUE and muted confirmation from fixed income. China FXI fell 2.10%, Consumer Discretionary XLY dropped 1.49%, Ethereum ETHA lost 1.51%, and Bitcoin IBIT declined 1.03%. South Korea EWY climbed 3.92%, Momentum MTUM gained 3.32%, Semiconductors SMH advanced 2.90%, and TIPS TIP edged up 0.16%. Taiwan EWT sits near the top of the 3M leaderboard. China MCHI is oversold. Vol is compressed in Energy XLE, India INDA, and Emerging Markets Bond EMB.

Equity: Value and Korea led, China weakness deepened

Movers

Leaders: Value Factor VLUE +4.04% (3M: +41.0%), South Korea EWY +3.92% (3M: +60.5%)

Laggards: China Large Cap FXI -2.10% (3M: -11.3%), Consumer Discretionary XLY -1.49% (3M: +2.6%)

3M Leaderboard

Strong: South Korea EWY +60.5%, Taiwan EWT +44.9%, Value Factor VLUE +41.0%

Weak: China Large Cap FXI -11.3%, Energy XLE -10.1%, China MCHI -9.8%

Fixed Income: Inflation-linked and mortgage bonds led, duration lagged

Movers

Leaders: Mortgage-Backed MBB +0.18% (3M: +1.3%), TIPS TIP +0.16% (3M: +1.1%)

Laggards: Preferred Stock PFF -0.78% (3M: +0.8%), Long Treasuries TLT -0.03% (3M: +1.8%)

3M Leaderboard (within FI scale)

Strong: EM Sovereign Bonds EMB +3.6%, High Yield Bonds JNK +2.8%, Muni Bonds MUB +2.3%

Weak: 3-7yr Treasuries IEI +0.2%, Int. Treasuries VGIT +0.3%, 7-10yr Treasuries IEF +0.4%

Specialty: Momentum and semis led, crypto stayed weak

Movers

Leaders: Momentum Factor MTUM +3.32% (3M: +37.4%), Semiconductors SMH +2.90% (3M: +59.6%)

Laggards: Ethereum Trust ETHA -1.51% (3M: -28.5%), Bitcoin Trust IBIT -1.03% (3M: -16.6%)

3M Leaderboard

Strong: Semiconductors SMH +59.6%, Momentum Factor MTUM +37.4%, Infrastructure PAVE +16.9%

Weak: Ethereum Trust ETHA -28.5%, Bitcoin Trust IBIT -16.6%, Gold Miners GDX -12.3%

Notable Setups

Equity Reversal setup: Energy XLE (vol compression building in 3M underperformers)

Equity Volatility Compression: India INDA, Energy XLE

Equity Volatility Expansion: US Technology IYW, Nasdaq 100 QQQ, S&P Growth SPYG

Equity Overbought: S&P SmallCap Growth SLYG

Equity Oversold: China Large Cap FXI, China MCHI, Communication Services XLC

Fixed Income Volatility Compression: Aggregate Bonds AGG, Global Bonds BNDX, EM Sovereign Bonds EMB

Specialty Volatility Expansion: Ethereum Trust ETHA, Biotechnology IBB, Bitcoin Trust IBIT

Specialty Overbought: Biotechnology IBB

Cross-Asset Read

Selective pro-cyclical rotation framed Thursday, with equity and specialty leadership aligned and fixed income offering muted confirmation. The 3M leaderboard concentrates in EWY, EWT, VLUE, SMH, and MTUM; Thursday extended that standing trend in EWY, VLUE, SMH, and MTUM, and FXI and ETHA aligned with the weak tail. Volatility expands in IYW, QQQ, SPYG, ETHA, and IBIT, while AGG, BNDX, EMB, INDA, and XLE sit in compression; the cross-section is selective, with equity beta leading and rate exposure compressed.

Romain Gandon
CEO, Quantlake

Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.