Alpha Report
Russell 2000 | June 2026

1. Executive Summary

RTY Macro Review for June 2026

The Russell 2000 benchmark (rebased series) advanced approximately +4.66% in June 2026, as small-cap equities benefited from a more constructive monetary policy backdrop following signals from the Federal Reserve that it was moving toward an easing posture (with market participants pricing in at least one rate cut in the second half of the year). Geopolitical tensions, including residual uncertainty around trade policy and Middle East supply-route disruptions earlier in the month, created intermittent headwinds for risk assets, though a broad late-month rally (partly driven by short-covering and improved sentiment around domestic economic resilience) helped extend gains into month-end. Against this backdrop, the strategy returned -0.32%, underperforming the benchmark as positioning was unable to fully capture the sharp directional move higher, particularly during the accelerated month-end price action.

Signal Performance Overview for June 2026

Trailing 12-month Sharpe 1.487 and return 11.125% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark rose approximately 4.66%; the strategy returned -0.32% over the same window. The current 12-month window shows a modest deterioration in both consistency and downside control, with the win rate slipping to 53.91% from 54.85% and maximum drawdown deepening to -4.56% versus -3.02% in the prior period. While the strategy remains net-positive in directional accuracy, the wider drawdown profile suggests the current environment has introduced somewhat choppier, less forgiving conditions compared to the preceding window.

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

Table 4: Quarterly Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the RTY price (100 = June 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