Daily brief — July 2, 2026
Momentum's worst five-day run against the index in a year. As published at the market close. The live view is always on the dashboard.
Unusual moves
- Momentum 5d vs S&P: -6.4% (-4.5σ, 0th pctile)
- High beta 5d vs S&P: -5.7% (-2.9σ, 1st pctile)
- Size 20d vs S&P: +7.8% (+2.7σ, 100th pctile)
- Quality 1d vs S&P: -0.9% (-2.6σ, 1st 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)
That's Momentum's worst 5-day run against the index in the past year.
Breadth: 68% of the index above its 50-day average (a month ago: 50%); 67% above the 200-day.
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, 2nd pctile)).
Analyst tape: 116↑ / 68↓ FY1 EPS (net +10%) in the July 3 read.
FW 3000: Momentum -8.3% (-4.2σ) on the week vs the broad benchmark — the 3,000-name universe, beyond large caps.
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.