Market updates, factor analysis, periodic commentary, as well as company news, and other content we think will be useful, timely or entertaining.

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1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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

14 hours ago

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

2025 Quarterly Factor Returns - Small Cap Universe

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%.

Brian Harvey

Feb 6

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Disclosure: This blog is a general communication being provided for informational purposes only. This information is in no way a solicitation or offer to sell securities or investment advisory services. It is educational in nature and not to be taken as advice or a recommendation for any specific investment product or investment strategy. This does not contain sufficient information to support an investment decision. Any investment or investment strategy mentioned may not be suitable for all investors or in their best interest. Statistical information, quotes, charts, references to articles or any other quoted statement or statements regarding market or other financial information is obtained from sources which we believe reliable, but we do not warrant or guarantee the timeliness or accuracy of this information. All rights are reserved. No part of this blog including text, graphics, et al, may be reproduced or copied in any format, electronic, print, et al, without written consent from Jackson Creek Investment Advisors LLC. Jackson Creek Investment Advisors LLC does not provide legal or tax advice. Please be advised to consult with your investment advisor, attorney, or tax professional before making any investment decisions.