Daily brief — July 1, 2026

Unusual moves

• Momentum 1d vs S&P: -3.2% (-3.7σ, 0th pctile)
• High beta 1d vs S&P: -2.7% (-2.5σ, 2th pctile)
• Size 20d vs S&P: +5.5% (+2.1σ, 99th pctile)
• Quality 1d vs S&P: -0.7% (-2.0σ, 3th pctile)

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

July seasonality (30y): market +1.2% mean / 60% hit; momentum +0.5% mean / 50% hit; value +0.6% mean / 43% hit; size -0.8% mean / 37% hit; quality +1.1% mean / 70% hit.

Baskets, 20d vs S&P: Managed Care & Health Insurers leads (+14.8%), AI Displacement Risk lags (-12.7%).

Sectors, 5d vs S&P: Communication Services leads (+2.7% (+1.3σ, 90th pctile)), Consumer Defensive lags (-4.6% (-1.7σ, 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.