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Weekly Factor Returns
Medium-term momentum (MTM) experienced a large pullback. Stocks that had outperformed the most over the past six months tended to underperform last week. The highest MTM stocks underperformed the lowest MTM stocks by 2.81% in the large cap universe and by 2.66% in the mid cap universe. The large cap MTM spread was greater than one standard deviation below its weekly average.
Brian
17 hours ago
Quarterly Market Data - September 2026
Commodities were the best performing asset class, aided by the price of oil, which rose 30% during the quarter. Geopolitical tension in the Middle East propped up energy markets. U.S. Large Cap (+2.12%) were the only other asset class with a real gain. International Developed was technically positive (+0.01%) but essentially unchanged from Q2. U.S. Small Cap stocks led to the downside. The iShares Russell 2000 ETF declined by 7.51%. Real Estate also lost more than 7.0%. The r
Brian
Oct 22
Weekly Factor Returns
Value was heavily favored. The most attractively valued securities outperformed the least attractive by a wide margin. The Value spread was +8.51% in the small cap universe, +8.07% among mid cap stocks, and +7.96% in the Russell 1000. All three spreads were well outside normal ranges. The small cap Value spread was greater than three standard deviations above average. The mid and large cap spreads were each greater than four standard deviations above their respective averages
Brian
Oct 19
Weekly Factor Returns
Value was the lone factor with directionally similar spreads across the capitalization spectrum. Value was positive in each index with the strongest returns in the small cap index. The most attractively valued stocks outperformed the least attractively valued by 3.43%, on average, in the Russell 2000. The small cap Value spread was greater than one standard deviation above average.
Brian
Oct 12
Weekly Factor Returns
Both measures of momentum were positive last week. Stocks that had risen the most over the past six months continued to outperform last week. The spread between the average return of the top and bottom percentiles of Medium-term momentum (MTM) was +3.74% in the small cap universe. Short-term momentum (STM) also rose last week. The biggest winners of the previous four weeks continued to outperform the biggest losers. The small cap STM spread was +2.25%. Both small cap momentum
Brian
Oct 5
Weekly Factor Returns
Medium-term momentum (MTM) was a positive influence. Stocks that had risen the most over the preceding six months continued to be the best performers last week. MTM rose 1.69% in the large cap universe and by 1.46% among mid caps. MTM rose the most in the small cap universe (+2.99%). The small cap MTM spread was greater than one standard deviation below average.
Brian
Sep 28
Weekly Factor Returns
Medium-term momentum (MTM) was positive, particularly among small caps. Stocks that outperformed over the preceding six months continued to outperform last week. The highest MTM stocks outperformed the lowest MTM stocks by 5.22% in the Russell 2000. The small cap MTM spread was greater than one standard deviation above average.
Brian
Sep 21
Weekly Factor Returns
Size contributed positively as the largest stocks tended to outperform the smallest stocks within each index range. Within the Russell 1000, the largest ten percent of companies outperformed the smallest ten percent by 2.29%, on average. The large cap Size spread was greater than one standard deviation above average.
Brian
Sep 14
Weekly Factor Returns
Short-term momentum (STM) reversed last week and was the lone factor with congruent return profiles within each index. Stocks that had outperformed the most over the previous four weeks tended to underperform last week. STM declined by 1.36% and 1.34% in the mid and small cap universes, respectively. STM lost 0.89% in the large cap space.
Brian
Sep 8
Weekly Factor Returns
Short-term momentum (STM) rose sharply last week. Stocks that had outperformed the most during the previous four weeks continued to outperform last week. STM rose the most in the small cap universe, where the spread between the most recent winners and most recent losers was +3.13%. STM rose 2.66% in the large cap index and 2.46% among mid caps. Each spread was greater than one standard deviation above its average.
Brian
Aug 24