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The S&P 500 closes today flat, at 7,675.70 and the close lands inside the 7,604–7,745 range forecast that morning
The session is over and here is what it did, figure by figure. In the morning we publish a range for the close; at night we say whether it landed inside, hit or miss, and the running score sits a few paragraphs below. Everything here comes from files that were already on the server —SEC filings, fifteen years of prices and portfolios rebuilt without looking ahead— and each section states how far its data reaches.
The close landed inside the range
In the morning the model published a range of 7,604.10 to 7,744.64 for this session's close, on data through 21-Aug-2026. It closed at 7,675.70, a 0.02% move on the previous close. On whether the day would move more than usual (the threshold was 0.446%), the model said "yes" and the answer was "no": miss.
00Who filed, and what it did to them
The 1 companies that filed with the SEC on August 25, 2026, and how their score moved once the new numbers went in.
This is the only thing that genuinely changes. Price moves every day and adds nothing; a quarterly or annual report rewrites value, quality and growth at once. Here is the before and after, on the 0-10 scale used on company pages, where 5 is the index average.
| Company | Rank | Multi-factor | What moved |
|---|---|---|---|
| HD | #445 → #444 (+1) | 4.3 → 4.3 | Momentum 3.8 → 3.6, Growth 4.2 → 4.3 |
Filing date on EDGAR, not the quarter end. Scores come from the rankings calendar: the same ones each company page publishes. No opinion on the results, only the measured effect.
01Today's call
Published before the open, checked at the close.
The range is the close ± 2.32 times the expected move, that has contained the close eight times out of ten over the last 1,064 out-of-sample sessions. It is neither a ceiling nor a floor: two times out of ten the close has landed outside it.
Historical frequency, not a forecast. We measured direction with the same model and the same protocol over 1,064 out-of-sample sessions: it is right 54.04% of the time and saying "up" every day is right 53.95%. There is no signal; the detail is in section 07.
Validated over 1064 out-of-sample sessions, walk-forward: each day is predicted training only on earlier ones, retraining every 21 sessions. It is right 59.87% of the time against 51.32% for the majority class (always calling the more frequent outcome). Brier 0.23472 against 0.24983 with no model.
How to read a 36.7%
A 36.7% does not mean "no". It means that in four of every ten days like today, the market moves more than usual. If tomorrow turns out turbulent, the model did not fail: the 36.7% happened.
A probabilistic forecast can only be judged over many days, like a weather forecaster. If they say 30% rain and it rains, they were not wrong; they would be wrong if it rained half the time they said 30%. That is why we publish the running score, and why it is worth more than any promise.
The 120 variables it looks at today
Of the 139 computed, the model keeps the 120 most correlated with the target every 21 sessions, chosen using past data only. These are today's, grouped by source.
asim_21 asim_63 atr14 autocorr_21 caida_max21 caida_max252 caida_max63 cierre_rango cierre_rango_5 curt_21 dist_ma10 dist_ma100 dist_ma20 dist_ma200 dist_ma5 dist_ma50 diurno diurno_10 ma20_50 ma50_200 ma5_20 nocturno nocturno_10 pend_ma10 pend_ma20 pend_ma5 pend_ma50 pos_rango21 pos_rango252 pos_rango63 racha rango_vs_atr ret_10d ret_1d ret_21d ret_2d ret_3d ret_5d ret_63d rsi_14 rsi_2 rsi_5 sube_min21 sube_min63 verdes_21 verdes_5 vol_10d vol_5d vol_63d vol_de_vol vol_r_21_63 vol_r_5_21 vol_rel20 vol_rel60 vol_tend vol_x_ret z_precio20 z_precio60ad ad_21 ad_5 asim_transv correlacion_implicita dispersion dispersion_5 dispersion_z equipond_menos_sp_5d max_21 max_252 max_63 max_menos_min_63 min_21 min_252 min_63 sobre_ma20 sobre_ma200 sobre_ma50dia_mes es_diciembre es_enero es_jue es_lun es_mar es_mie es_septiembre es_vie ini_mes mesvix vix_5d vix_ma20 vix_pct252 vix_vs_vol vix_z63 vvix vvix_vs_vix vvix_z63curva curva_d5 irx_dif_5d tnx_d1 tnx_d21 tnx_d5 tnx_z63cobre_21d cobre_5d cobre_entre_oro_21d oro_21d oro_5d oro_menos_sp_21drut_1d rut_21d rut_5d rut_menos_sp21 rut_menos_sp5nas_menos_sp5 nasdaq_1d nasdaq_21d nasdaq_5dskew_idx_z6302Today's number
One figure, and what you need to read it properly.
The high of the past 23 months was +13.0 points, in the window ending June 16, 2026: nine weeks later the gap is +6.2. At the other end of the same stretch, -8.3 on August 14, 2025.
Over the past month the value portfolio gained +4.27% while momentum gained +5.95%. Across that six-month window the benchmark rose 9.7%, so this is not the whole market moving: it is a rotation inside one.
Computed from carteras.json · 185 monthly rebalances between 4-Apr-2011 and 17-Aug-2026 (fifteen years) · 179 overlapping windows of 6 rebalances · recent stretch: the last 24 rebalances, the shortest run that still holds 4 non-overlapping windows.
03What the executives did
SEC Form 4, session of August 25, 2026. 1 sale, 49.3 million dollars.
The biggest sale of the day tells you nothing. Clarke Ronald, of Corpay, sold 49.3 million dollars of stock and still holds 2,354,330 shares: that is 4.83% of the position.
The only sale filed that day was discretionary. And here is the finding: the largest sale as a share of holding was discretionary.
| Company | Role | % of holding | Value | Left |
|---|---|---|---|---|
| Corpay Clarke Ronald · largest of the day by dollar value | CEO & Chairman of BOD | 4.8% | 49.28 M$ | 2,354,330 sh. |
Source: Form 4 filings with the SEC · alertas_insiders.json, session of 25-Aug-2026.
The 90-day context: 777 sales worth 3,600 million dollars (2 with no declared price, outside that total), of which 363 were discretionary, and of those 121 exceeded 25% of the seller's position. That is where to look.
Before drawing conclusions
Executives sell for divorces, mortgages, taxes and school fees, not only because they see clouds. The SEC does not require a reason, and we do not know it.
What we do know is that these people chose the timing. It is a map of where to look. It is not a sell signal.
04The three portfolios that can actually be audited
Rebuilt month by month using only what was known on the day.
| Portfolio | Cumulative | CAGR | Sharpe | Max DD | This year | Last month |
|---|---|---|---|---|---|---|
| Value 100Earnings, book and sales yield | +602.8% | 13.45% | 0.63 | -50.78% | +22.35% | +4.27% |
| Momentum 10012m return ex-latest month / volatility | +674.4% | 14.16% | 0.75 | -35.76% | +28.40% | +5.95% |
| Quality 100Balance-sheet and earnings quality | +664.4% | 14.07% | 0.75 | -33.22% | +12.42% | +3.47% |
| RSP (equal-weight S&P 500) real ETF, dividends reinvested | +467.6% | — | — | — | — | — |
All three beat the benchmark (+467.6%) on cumulative return over fifteen years, but cumulative return is not the proof: the benchmark carries the bias explained below. The weakest is Value 100, with an alpha of -0.63%: negative, meaning what it earns does not pay for the market risk it takes to earn it. Publishing the figure that comes out worst is the only reason the others deserve any credit.
That benchmark is a fund you can buy
The +467.6% in the row above is RSP, the equal-weight S&P 500 ETF, with dividends reinvested and its management fee already deducted. It is the fair comparable because the portfolios also weight every holding the same, and it already carries what happened to the companies that left the index, because the fund actually sold them. The portfolios, by contrast, are measured with no trading costs, and that asymmetry flatters them.
Over this same window and measured the same way, SPY, the plain cap-weighted S&P 500, returned +676.5% (14.10% a year). Beating RSP but not SPY means the edge is in picking well inside the index, not in avoiding the concentration in the seven giants.
Source: carteras.json · index based at 100 on 4-Mar-2011. Walk-forward with point-in-time data: on each date scoring uses only prices up to that day and fundamentals already filed with the SEC. 185 rebalances through 17-Aug-2026.
The site's other zero portfolios are not here. They are not picked by factor ranking, so their history cannot be rebuilt without looking ahead: their figures are today's holdings applied to the past, which inflates them. Until they have a walk-forward test, they stay out of this report.
05Today's question
Is momentum's lead running out, or just catching its breath?
Source: carteras.json · index based at 100 on 4-Mar-2011. Walk-forward with point-in-time data: on each date scoring uses only prices up to that day and fundamentals already filed with the SEC. 185 rebalances through 17-Aug-2026.
The three windows where momentum pulled furthest ahead of value are +27.9 (9-Jul-2020), +23.5 (8-May-2020), +18.9 (7-Aug-2020). The widest is July 9, 2020, six years ago: the extreme of the series is not a recent event, and the window closing August 17, 2026 is worth +6.2 points.
At the other end, the three where value led: -43.7 (10-May-2021), -36.2 (9-Apr-2021), -33.6 (10-Mar-2021); the widest, May 10, 2021, five years ago.
And after an extreme? Counted, not assumed: of the 4 extremes in momentum's favour with enough data after them, in 4 the lead had flipped sign six months later; of the 5 extremes in value's favour, in 3. That is a count over 9 episodes, not a rule.
Why this is not a forecast
179 overlapping windows are not 179 independent observations: each shares five of its six rebalances with the next. With that overlap, any series looks mean-reverting whether it is or not.
What this chart supports is descriptive: the gap between the two factors is +6.2 points today, and last month belonged to Momentum 100. What happens next month is not in this data.
06The close, in three figures
Context, not headline.
Closing levels of ^GSPC, ^VIX and ^TNX (Yahoo Finance) · session of 26-Aug-2026.
The S&P 500 fell 0.02% in the session of August 26, 2026 and the VIX closed at 15.21. None of that explains the factor rotation in section 02, which is why it sits in section six rather than section one.
07The limits, and what they teach
A fixed section. Knowing where a model stops is worth as much as knowing what it gets right.
- Why each executive sold. The SEC requires the filing, not the motive. Anyone who tells you the motive is making it up.
- What insiders did yesterday. Form 4 can be filed up to two business days after the trade, so the freshest data is always the day before last.
- Whether momentum keeps winning. Fifteen years and 185 rebalances are not enough to claim a factor mean-reverts. We can describe what happened, not what comes.
- What any company is worth. This report computes no price targets. No Monte Carlo, no DCF, no fair value. When you see one elsewhere, ask which cost of capital discounted it and who chose that number.
- Whether the S&P rises tomorrow. We measured it with the same model (139 variables) and the same walk-forward protocol, over 1,064 out-of-sample sessions: the model calls direction right 54.04% of the time and saying "up" every single day is right 53.95%. The gap is noise: there is no signal, so we don't sell one. Both figures are recomputed every edition.
Next: What the S&P 500 is · today's ranking · all the guides.
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This is not investment advice. Quant500 publishes data and its historical reconstruction. No figure here is a suggestion to buy or sell, nor does it account for your personal situation.
Report generated automatically on August 26, 2026 from the server's data files. Each section states its own cut-off date, which is not always today.
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