Market updates, factor analysis, periodic commentary, as well as company news, and other content we think will be useful, timely or entertaining.

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1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

Weekly Factor Returns

Volatility was lower last week as investors sought stocks with lower price Volatility during the market’s decline. Stocks exhibiting the highest Volatility underperformed those with the least Volatility by 2.2% in the large and small indices. Volatility was -2.3% in the mid cap universe.

Brian

7 hours ago

Weekly Factor Returns

Value was a positive influence, particularly among small caps. The most attractively valued securities outperformed the least attractively valued by 4.13% in the Russell 2000. The small cap Value spread was greater than one standard deviation above average. Value was positive in the large capitalized indices, but to a lesser degree.

Brian

Nov 17

Annual Volatility Returns - Small Cap Universe - 2000 to 2025

High Volatility Continues to Rule the Day (and Market)

Factor returns were mostly subdued in the third quarter, except for Volatility, which continues to dominate other factor’s returns. Higher Volatility stocks rose by 6.5% more than low Volatility stocks, an average. The Volatility spread contracted from last quarter but remained the top performing factor in the quarter and year-to-date. Volatility is up 8.7% in 2025.

Brian

Nov 13

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Disclosure: This blog is a general communication being provided for informational purposes only. This information is in no way a solicitation or offer to sell securities or investment advisory services. It is educational in nature and not to be taken as advice or a recommendation for any specific investment product or investment strategy. This does not contain sufficient information to support an investment decision. Any investment or investment strategy mentioned may not be suitable for all investors or in their best interest. Statistical information, quotes, charts, references to articles or any other quoted statement or statements regarding market or other financial information is obtained from sources which we believe reliable, but we do not warrant or guarantee the timeliness or accuracy of this information. All rights are reserved. No part of this blog including text, graphics, et al, may be reproduced or copied in any format, electronic, print, et al, without written consent from Jackson Creek Investment Advisors LLC. Jackson Creek Investment Advisors LLC does not provide legal or tax advice. Please be advised to consult with your investment advisor, attorney, or tax professional before making any investment decisions.