Daily brief — June 26, 2026

Unusual moves

• Momentum 1d vs S&P: -3.3% (-4.2σ, 0th pctile)
• Size 5d vs S&P: +6.3% (+3.6σ, 100th pctile)
• High beta 1d vs S&P: -3.0% (-3.0σ, 1th pctile)
• Value 5d vs S&P: +5.3% (+3.0σ, 99th pctile)
• Dividend yield 5d vs S&P: +5.2% (+2.6σ, 99th pctile)
• Low volatility 5d vs S&P: +4.6% (+2.4σ, 98th pctile)
• Quality 20d vs S&P: +3.2% (+2.1σ, 94th pctile)

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

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: Housing Chain leads (+15.0%), Magnificent Seven lags (-9.9%).

Sectors, 5d vs S&P: Healthcare leads (+10.1% (+4.2σ, 100th pctile)), Communication Services lags (-4.1% (-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.