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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
11 minutes ago
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
Quarterly Market Data - June 2026
Equities provided robust returns in Q2, with leadership transitioning away from the mega-cap index heavyweights. Smaller capitalized outfits, particularly those providing specialized components and infrastructure needs within the AI supply chain, offered superior returns.
U.S. Small Caps led Q2 with a 21.15% return for the iShares Russell 2000 ETF. Emerging Market stocks were a close second, posting a 20.46% return.
Brian
Jul 24
Weekly Factor Returns
Value was heavily favored. Stocks with the most attractive valuations outperformed those with the weakest valuations, on average. The mid cap Value spread was +5.07%, the small cap Value spread was +4.90%, and the large cap Value spread was +4.72%. All three returns were greater than two standard deviations above their respective averages.
Brian
Jul 20
Weekly Factor Returns
Short-term momentum (STM) experienced a sharp reversal, particularly among large and mid cap stocks. Stocks that performed best over the preceding four weeks tended to underperform last week. The large cap STM spread was (-2.55%) was one standard deviation below its average. The mid cap STM was -2.34%.
Brian
Jul 13