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Weekly Factor Returns
Medium-term momentum (MTM) was positive across the board. Stocks that had outperformed the most over the past six months continued to outperform last week. The MTM spread was +2.79% in the large cap universe and +3.42% among small caps. All three spreads were greater than one standard deviation above average.
Brian
2 days ago
Weekly Factor Returns
Medium-term momentum (MTM) was positive in each index. Stocks that had outperformed the most over the previous six months continued to outperform last week. MTM was strongest in the Russell 2000 where the spread was +1.99%. MTM rose over 1.00% in the large and small indices as well.
Brian
Mar 23
Weekly Factor Returns
Medium-term momentum (MTM) was sharply negative. The stocks that outperformed the most over the previous six months underperformed last week. The MTM spread was -5.39% in the Russell 1000 and -5.65% in the Russell MidCap. Each spread was two standard deviations below their averages. The small cap MTM spread was greater than one standard deviation below average.
Brian
Mar 9
Monthly Market Data - February 2026
All eight asset classes have a positive twelve month return. The asset class returns depict a "risk-on" sentiment.
Non-U.S. Equities have outperformed in the past year. Emerging Market Equities are the leading asset class over the past year. EM has gained 46.2%.
Brian
Mar 6
Weekly Factor Returns
Medium-term momentum (MTM) was negative among large and mid cap stocks. MTM was very positive in the small cap space. MTM declined by over 1.00% in the Russell 1000 and Russell MidCap. MTM rose by 3.04% in the Russell 2000. Stocks that had outperformed the most over the previous six months continued to outperform last week. The small cap MTM spread was greater than one standard deviation above average.
Brian
Mar 2
Weekly Factor Returns
Volatility experienced the largest returns among the large and mid cap indices. The most volatile stocks outperformed the least volatile by 2.60% and 2.89% in the Russell 1000 and Russell MidCap, respectively. Volatility was less influential among small caps.
Brian
Feb 23
Weekly Factor Returns
Lower Volatility was primary theme. The most volatile stocks underperformed the least volatile by 4.13% in the large cap universe. The Volatility spread was -4.00% in the small cap index and -3.72% among mid caps. Each return was greater than one standard deviation below its weekly average.
Brian
Feb 17
Weekly Factor Returns
Value was a key driver of performance last week. The most attractively valued stocks outperformed the least attractively valued by 1.72% in the small cap universe. The small cap Value spread was greater than one standard deviation above average. Value spreads were 6.66% in the Russell 1000 and 6.87% in the Russell MidCap. The large and mid cap Value spread each exceeded three standard deviations above their averages.
Brian
Feb 9
Muted Q4 Returns but Unusual Annual Returns
Factor returns were generally underwhelming in the fourth quarter.
Value had the largest absolute return. Investors were more concerned about valuation levels as Value was positive. The most attractively valued stocks outperformed the least attractive by 8.26%, on average. This was the first quarter Value was positive since Q1. Due to poor performance in Q2 and Q3, Value is negative for the full year. Value’s 2025 return was -1.43%.
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Brian Harvey
Feb 6
Weekly Factor Returns
Value and Volatility were the driving factors. Each spread for the two factors was at least one standard deviation from its average.
Low Volatility stocks outperformed high Volatility stocks by over 5.00% in each index. The low Volatility spread was greatest in the large and mid cap indices.
Brian
Feb 2