Daily brief — July 2, 2026

Unusual moves

• Momentum 5d vs S&P: -6.4% (-4.5σ, 0th pctile)
• High beta 5d vs S&P: -5.7% (-2.9σ, 1th pctile)
• Size 20d vs S&P: +7.8% (+2.7σ, 100th pctile)
• Quality 1d vs S&P: -0.9% (-2.6σ, 1th pctile)
• Low volatility 1d vs S&P: +2.2% (+2.4σ, 99th pctile)
• Value 20d vs S&P: +7.5% (+2.2σ, 100th pctile)
• Dividend yield 1d vs S&P: +1.9% (+2.0σ, 98th pctile)

20d leadership: size (held 2d, 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: Regional Banks leads (+14.2%), AI Infrastructure Leaders lags (-9.6%).

Sectors, 5d vs S&P: Consumer Cyclical leads (+2.6% (+1.6σ, 94th pctile)), Industrials lags (-3.3% (-2.1σ, 2th 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.