.png)
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
1 day ago
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
Weekly Factor Returns
Volatility was the leading factor within each index. The most volatile stocks outperformed the least volatile by 2.92%, on average, in the Russell 1000 and by 2.88% in the Russell MidCap. The small cap Volatility spread was 1.63%.
Brian
Aug 17
Weekly Factor Returns
Volatility was a leading factor last week. The most volatile stocks outperformed the least volatile, on average, by 7.31% in the mid cap universe. The mid cap Volatility spread was greater than two standard deviations above its average. The large cap Volatility spread (+5.61%) and the small cap Volatility spread (+5.74%) were each greater than one standard deviation above their respective averages.
Brian
Aug 10
Weekly Factor Returns
Value was positive as investors sought more reasonably priced securities during the market’s pullback. Within the large cap universe, the return difference between the most attractively valued and least attractively valued stocks was 2.06%. The large cap Value spread was one standard deviation above average.
Brian
Jul 27