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Weekly Factor Returns
Volatility was major contributor to returns. Higher Volatility stocks outperformed lower Volatility stocks by a wide margin in each index. Volatility was highest in the Russell 1000 (+6.71%), followed by the Russell MidCap (+6.49%), and then the Russell 2000 (+5.40%). The small and mid cap Volatility spread were greater than one standard deviation above their averages. The large cap Volatility spread was two standard deviations above average.
Brian
2 days ago
Monthly Market Data - April 2026
Equity markets and hard assets all had solid gains in April. Fixed Income was the lone asset class with a negative return.
Emerging Market equities generated the most positive return, followed by U.S. Small Cap stocks. U.S. Large Cap was the third-best performing class.
Real Estate rose sharply, despite an uptick in the yield curve (see below). Commodities rose again, boosted by rising oil prices.
Rising yields weighed on Fixed Income prices.
Brian
5 days ago
Weekly Factor Returns
Both measures of momentum reversed sharply. Medium-term momentum (MTM) declined by over 2% in each index. Stocks that had outperformed the most over the previous six months tended to underperform last week. The small cap MTM spread was one standard deviation below its average.
Brian
May 26