Daily brief — July 29, 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: -8.9% (-3.9σ, 0th pctile)
- Size 5d vs S&P: +6.9% (+3.7σ, 100th pctile)
- Momentum 5d vs S&P: -6.2% (-3.7σ, 0th pctile)
- Dividend yield 5d vs S&P: +5.7% (+2.8σ, 99th pctile)
- Value 5d vs S&P: +4.7% (+2.5σ, 98th pctile)
- Low volatility 5d vs S&P: +4.7% (+2.3σ, 98th pctile)
- Quality 20d vs S&P: -3.1% (-2.1σ, 0th pctile)
That's High beta's worst 5-day run against the index since January 2020.
Breadth: 67% of the index above its 50-day average (a month ago: 63%); 71% above the 200-day.
20d leadership: divyield (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: AI Displacement Risk leads (+28.8%), Optics & Memory lags (-35.6%).
Sectors, 5d vs S&P: Healthcare leads (+6.9% (+2.6σ, 98th pctile)), Technology lags (-4.0% (-2.2σ, 2nd pctile)).
Analyst tape: 173↑ / 106↓ FY1 EPS (net +14%) in the July 29 read.
FW 3000: Momentum -10.1% (-4.0σ) 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.