Alpha Report
Russell 2000 | July 2026

1. Executive Summary

RTY Macro Review for July 2026

Small-cap equities faced headwinds in July 2026, with the Russell 2000 benchmark (rebased series) declining approximately 3.20% over the month, as renewed trade-related uncertainty and lingering geopolitical tensions weighed on risk sentiment and pressured the more domestically exposed names that dominate the index. The Federal Reserve held rates steady at its July meeting but struck a notably cautious tone, signaling that the path toward any further easing remained data-dependent and pushing back against market expectations for near-term cuts, a headwind for small caps, which are disproportionately sensitive to financing costs. A late-month risk-off move into month-end amplified losses in the benchmark, though the strategy navigated this period with greater resilience, returning -0.78% over the same window and meaningfully outperforming the benchmark by approximately 242 basis points.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 1.534 and return 11.510% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark (rebased series, see Figure 1) declined approximately 3.20%; the strategy returned -0.78% over the same window. Maximum drawdown held flat at -4.56% across both windows, signaling a consistently contained loss profile with no meaningful deterioration in tail risk. Win rate edged up from 53.91% to 54.20%, a modest but directionally positive shift suggesting the strategy maintained slightly better trade-level consistency in the current period relative to the prior one.

Signal Coverage — Russell 2000

2. Trading Strategy

In order to produce the metrics below we use the signal in combination with the trading strategy below:

• Leverage: No leverage is applied for this strategy and metrics
• Positions:
  • Entry positions: Every 5 minutes (between 09:45 and 15:30 ET) we decide to take a long, short or no position using 1/69 of our starting portfolio for the day (there are 69 possible openings per day). Each long/short position is then split into 5 parts and executed on each minute for the next 5 minutes following the decision. There is no sizing adjustment.
  • Exit positions: We exit all positions at the end of the day. The exits are split over five minutes (15:55–16:00 ET).
• Costs: 2 bp round-turn assumption. Extra exchange/clearing fees not included.
• Contract series & roll: Front-month continuous. Switch at the open T–5 trading days before expiration; stop trading the expiring contract and start trading the next.

For detailed examples, flowcharts, and a full walkthrough of the trading strategy, see Benchmark Trading Strategy.

3. Model Training Data and Timeframe

4. Performance Metrics

Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)

Table 2: Year over Year Performance Comparison

Table 3: 12-Months Ending Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the RTY price (100 = July 01, 2026)

5. Next Steps

Download historical predictions for this month using the Client API and confirm performance in your own test harness.

• Sign-up: Start Free Trial
• API Documentation: https://quantumsignals.ai/documentation

6. Contact

Please reach out with any questions or comments at: info[at]quantumsignals.ai