Daily brief — July 28, 2026
High beta'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
- High beta 5d vs S&P: -7.1% (-3.1σ, 0th pctile)
- Size 5d vs S&P: +5.5% (+3.0σ, 99th pctile)
- Momentum 5d vs S&P: -4.4% (-2.7σ, 2nd pctile)
- Dividend yield 5d vs S&P: +4.9% (+2.4σ, 98th pctile)
- Value 5d vs S&P: +4.4% (+2.3σ, 97th pctile)
- Low volatility 5d vs S&P: +4.2% (+2.1σ, 98th pctile)
That's the 5th-worst 5-day run for High beta against the index since January 2020.
Breadth: 73% of the index above its 50-day average (a month ago: 66%); 73% above the 200-day.
- Since yesterday: divyield crossed +2σ (5d, now +2.4σ)
- Since yesterday: highbeta crossed -2σ (5d, now -3.1σ)
- Since yesterday: lowvol crossed +2σ (5d, now +2.1σ)
- Since yesterday: momentum crossed -2σ (5d, now -2.7σ)
- Since yesterday: size crossed +2σ (5d, now +3.0σ)
- Since yesterday: value crossed +2σ (5d, now +2.3σ)
20d leadership: value (held 1d, prev divyield)
- 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: AI Displacement Risk leads (+20.5%), Optics & Memory lags (-32.8%).
Sectors, 5d vs S&P: Industrials leads (+4.1% (+2.4σ, 98th pctile)), Technology lags (-2.9% (-1.6σ, 5th pctile)).
Analyst tape: 166↑ / 100↓ FY1 EPS (net +14%) in the July 28 read.
FW 3000: Momentum -7.5% (-3.1σ) 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.