Alpha Report
Russell 2000 | May 2026

1. Executive Summary

RTY Macro Review for May 2026

During May 2026, the Russell 2000 benchmark delivered a solid +3.69% return as small-cap equities benefited from growing market expectations of Federal Reserve easing later in the year, with dovish commentary from several Fed officials signaling a potential shift away from the restrictive monetary stance. However, our RTY strategy underperformed significantly with a -1.76% return, as heightened geopolitical tensions in Eastern Europe created episodic risk-off sentiment that disrupted momentum patterns and led to increased intraday volatility that challenged our positioning. The strategy's underperformance was particularly pronounced during the final week of May, when a late-month rally in small-cap value names—driven by rotation flows ahead of month-end rebalancing—moved counter to our factor exposures.

Signal Performance Overview for May 2026

Trailing 12-month Sharpe 1.74 and return 12.48% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark rose approximately 3.69%; the strategy returned -1.76% over the same window. The current period shows a slightly more conservative risk profile with the maximum drawdown deepening modestly to -3.19% from -3.02% in the previous window. Win rate consistency remains strong at 54.77%, though down marginally from the prior period's 55.70%, suggesting stable but slightly less favorable trade execution dynamics.

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 1/70 of our starting portfolio for the day (there are 70 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 = May 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