Alpha Report
S&P 500 | June 2026

1. Executive Summary

ES Macro Review for June 2026

The S&P 500 benchmark (rebased series) declined approximately 0.82% in June 2026, as equity markets navigated a cautious Federal Reserve stance (with the Fed holding rates steady at its June meeting while signaling a slower-than-expected path toward easing) alongside lingering geopolitical uncertainty in the Middle East that periodically weighed on risk sentiment throughout the month. A late-month sell-off into quarter-end, driven by portfolio rebalancing flows and renewed concerns over softer-than-expected economic data, amplified downside pressure in the final sessions. Against this backdrop, the strategy returned -3.36%, underperforming the benchmark by approximately 254 basis points, reflecting the strategy's heightened sensitivity to the choppy, low-conviction price action that characterized much of the month.

Signal Performance Overview for June 2026

Trailing 12-month Sharpe 0.610 and return 2.586% (through the period in Table 3 below). During the report month, the S&P 500 benchmark declined approximately 0.82%; the strategy returned -3.36% over the same window. The current 12-month window shows a modest deterioration in drawdown depth, with max drawdown widening to -7.11% from -3.97% in the prior period, suggesting the strategy encountered more sustained adverse moves. Win rate held relatively stable at 52.99% versus 53.35% previously, indicating directional accuracy remained consistent even as the magnitude of losing sequences increased.

Signal Coverage — S&P 500

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: 1 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 ES 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