Daily brief — July 16, 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: -5.1% (-3.3σ, 1st pctile)
- Dividend yield 1d vs S&P: +2.8% (+2.9σ, 100th pctile)
- Size 1d vs S&P: +2.5% (+2.9σ, 100th pctile)
- Low volatility 1d vs S&P: +2.4% (+2.6σ, 99th pctile)
- High beta 5d vs S&P: -4.9% (-2.4σ, 2nd pctile)
- Value 1d vs S&P: +1.7% (+2.0σ, 98th pctile)
That's the 9th-worst 5-day run for Momentum against the index since January 2020.
Breadth: 68% of the index above its 50-day average (a month ago: 66%); 71% above the 200-day.
- Since yesterday: highbeta crossed -2σ (5d, now -2.4σ)
- Since yesterday: momentum crossed -2σ (5d, now -3.3σ)
20d leadership: size (held 1d, prev value)
- Rotation flag: highbeta went top→bottom quartile in 20 trading days
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 (+9.2%), AI Infrastructure Leaders lags (-11.5%).
Sectors, 5d vs S&P: Financial Services leads (+2.2% (+1.4σ, 92nd pctile)), Technology lags (-2.1% (-1.2σ, 8th pctile)).
Analyst tape: 160↑ / 104↓ FY1 EPS (net +12%) in the July 16 read.
FW 3000: Momentum -7.7% (-3.4σ) 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.