Daily brief — June 11, 2026

Unusual moves

• Momentum 1d vs S&P: +2.5% (+3.4σ, 100th pctile)
• High beta 1d vs S&P: +3.0% (+3.1σ, 100th pctile)
• Value 5d vs S&P: +4.4% (+2.6σ, 98th pctile)
• Quality 1d vs S&P: +0.7% (+2.4σ, 98th pctile)
• Size 20d vs S&P: +5.7% (+2.4σ, 100th pctile)
• Low volatility 5d vs S&P: +4.2% (+2.4σ, 98th pctile)
• Dividend yield 5d vs S&P: +4.1% (+2.1σ, 98th pctile)

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

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: AI Infrastructure Leaders leads (+15.4%), Magnificent Seven lags (-7.1%).

Sectors, 5d vs S&P: Financial Services leads (+3.4% (+2.4σ, 98th pctile)), Technology lags (-3.2% (-1.9σ, 4th pctile)).

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