Daily brief — June 15, 2026
Value's worst one-day run against the index in a year. As published at the market close. The live view is always on the dashboard.
Unusual moves
- Value 1d vs S&P: -2.3% (-3.1σ, 0th pctile)
- Dividend yield 1d vs S&P: -2.8% (-3.1σ, 0th pctile)
- Momentum 20d vs S&P: +7.5% (+2.4σ, 100th pctile)
- High beta 1d vs S&P: +2.4% (+2.4σ, 99th pctile)
- Size 1d vs S&P: -1.9% (-2.3σ, 0th pctile)
- Low volatility 1d vs S&P: -2.1% (-2.3σ, 1st pctile)
- Quality 5d vs S&P: +1.4% (+2.1σ, 97th pctile)
20d leadership: highbeta (held 1d, prev size)
- Rotation flag: size went bottom→top quartile in 20 trading days
- 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: AI Infrastructure Leaders leads (+15.4%), US Energy Complex lags (-7.9%).
Sectors, 5d vs S&P: Basic Materials leads (+3.0% (+1.5σ, 92nd pctile)), Energy lags (-6.8% (-2.0σ, 4th pctile)).
Computed from S&P 500 constituents, point-in-time quintile portfolios. Provided as-is, with no guarantee of accuracy, timeliness, or freedom from errors. Not investment advice.