Daily brief — June 10, 2026

Unusual moves

• Value 5d vs S&P: +6.3% (+3.8σ, 100th pctile)
• Low volatility 5d vs S&P: +6.6% (+3.7σ, 100th pctile)
• Dividend yield 5d vs S&P: +6.2% (+3.4σ, 100th pctile)
• High beta 5d vs S&P: -5.9% (-3.2σ, 0th pctile)
• Quality 20d vs S&P: +3.2% (+3.0σ, 99th pctile)
• Size 5d vs S&P: +4.7% (+2.9σ, 100th pctile)
• Momentum 5d vs S&P: -3.1% (-2.4σ, 0th pctile)

20d leadership: value (held 1d, prev size)

• Rotation flag: highbeta went top→bottom quartile in 20 trading days

June seasonality (30y): market +0.7% mean / 63% hit; momentum +2.0% mean / 70% hit; value -1.4% mean / 30% hit; size +1.3% mean / 77% hit; quality +0.3% mean / 67% hit.

Baskets, 20d vs S&P: Cybersecurity leads (+14.8%), Power & Grid Buildout lags (-7.5%).

Sectors, 5d vs S&P: Financial Services leads (+6.6% (+4.7σ, 100th pctile)), Technology lags (-6.0% (-3.6σ, 0th pctile)).

Computed from S&P 500 constituents, point-in-time quintile portfolios. Not investment advice.