The S&P 500’s health-care sector finished June as the second-worst performer of the index’s 11 groups, a shift from earlier this year when the stocks offered shelter during market turbulence. Read More WSJ.com: Markets...

Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month (i.e., months 2–12) because it tends to show a reversal,...