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Weekly Factor Returns
Size was the most influential factor last week. The Size factor was negative as smaller companies tended to outperform within each index. The largest ten percent of companies within the Russell MidCap underperformed the smallest ten percent by 1.80%, on average. Size was -1.44% in the Russell 1000 where the factor has a greater influence on the overall index compared to the less capitalized indices.
Brian
3 hours ago
Weekly Factor Returns
Weak Value was a major theme last week. Negative Value spreads occurred within each index. The stocks with the most attractive Value rankings underperformed those with the weakest rankings by 3.20% in the Russell MidCap index. Value spreads were greater than -2.00 in both the small and large cap indices. Each Value return was greater than one standard deviation below its weekly average.
Brian
6 days ago
Weekly Factor Returns
Value was out of favor last week. Stocks with the most attractive valuations tended to underperform those with weaker valuations. The small cap Value spread dominated the large and mid cap returns. The average return difference between the highest ranked and lowest ranked Value stocks in the Russell 2000 was -4.29%. The small cap Value spread was greater than two standard deviations below its average.
Brian
Jan 12