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The S&P 500 has rallied 18% from the late-March low, and Quant Insight's MFERM factor model tells a clear story about what's powering it — and where the vulnerability now sits.

This is a growth tape, not a financial-conditions one. Since March, the index has moved in lockstep with Real Rates (+0.90), Economic Growth (+0.79) and Credit (+0.93, a maximum reading). That last figure is the tell: if this were a financial-conditions scare, credit would be breaking the rally rather than riding it.

But one exposure deserves close attention. As the market climbed, its sensitivity to rate volatility deepened in step — now sitting at the 9th percentile of the past decade. The vulnerability has built inside the rally, not apart from it. This isn't a call that rate vol rises. It's an observation that the book has rarely been more geared to it if it does.

The timing matters. Of the +8% rally since mid-April, only around +2% has come from macro factors. The remaining +6% was idiosyncratic — the AI-driven single-stock story. And since mid-May, the macro engine has stalled: factor return has been flat, with the index treading water on idio alone.

The exposures are still elevated — real rates, growth and credit — but high exposure is a level; returns require those factors to keep moving, and they've stopped. The growth tailwind that drove April and May has paused. The rally is now carried by stock-specific strength, which itself wobbled in June. With factor return flat, the rate-vol fragility matters more now than it did in April.

Macro hasn't turned against stocks. The question is whether it re-engages.

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