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Weekly Factor Returns
Volatility was negative, which was a reversal from last week. Stocks with the most price Volatility underperformed the least volatile stocks. The Volatility spread greatest among small caps (-2.18%).
Brian
2 days ago
Monthly Market Data - May 2025
Domestic equities were among the worst performing asset classes in February. U.S. Small Cap stocks had the largest decline, followed by ...
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Brian Harvey
6 days ago
Weekly Factor Returns
Volatility was a major driver of returns. The most volatile stocks outperformed the least volatile by 4.69% in the large cap index, 4.53% in the mid cap index, and 7.01% among small caps. The large and mid cap Volatility spreads were greater than one standard deviation and the small cap spread was greater than two standard deviations.
Brian
Jun 9
Weekly Factor Returns
Factor returns were within expected ranges across the capitalization spectrum. Short-term momentum was the lone factor with directionally similar spreads within each index.
Volatility was positive in the large and mid cap indices. Each spread was close to, or just above, 1.0%. Volatility was slightly negative in the small cap universe.
Value was positive within the mid and small cap indices. The most attractively valued securities underperformed, on average, relative to the l
Brian
Jun 2
Weekly Factor Returns
MTM experienced the largest spreads in each index. Stocks that had outperformed the most over the previous six months continued to outperform last week. The highest MTM stocks outperformed the lowest MTM stocks by 4.61%, on average, in the large cap universe and by 3.63% among small caps. Both spreads were greater than one standard deviation above average.
Brian
May 27
Weekly Factor Returns
Value was out of favor last week. Stocks with the most attractive valuations underperformed those with the least attractive valuations. The Value spread was -1.47% in the Russell 1000 and -3.30% in the Russell 2000. The small cap Value spread was greater than one standard deviation below average.
Brian
May 19
Weekly Factor Returns
Value had the strongest returns in each index. The most attractively valued stocks outperformed the least attractively valued by 2.78% in the Russell 2000 and by 1.99% in the large cap universe. The small cap Value spread was greater than one standard deviation above average.
Brian
May 12
Weekly Factor Returns
Short-term momentum (STM) experienced a reversal, particularly in the Russell 2000. Stocks that had outperformed the most over the preceding four weeks underperformed last week. The spread between stocks with the highest STM ranks and the lowest was -3.91% in the small cap universe. This was over one standard deviation below average. STM was -1.26% in the large cap universe.
Brian
May 5
2025 Q1 Small Cap Factor Review
Medium-term momentum (MTM) was the leading factor in the Jackson Creek small cap universe (among our five key factors). MTM was very strong
Brian
May 2
Weekly Factor Returns
High Volatility stocks helped drive the markets higher. The most volatile stocks outperformed the least volatile by 8.19% in the large cap universe and by 5.10% among small caps. The large cap Volatility spread was 2.5 standard deviations above the weekly average. The small cap Volatility exceeded one standard deviation.
Brian
Apr 28