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JACKSON CREEK

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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

Value was out of favor last week. Stocks with the most attractive valuations underperformed those with the least attractive valuations. The Value spread was -1.47% in the Russell 1000 and -3.30% in the Russell 2000. The small cap Value spread was greater than one standard deviation below average.

Brian

4 days ago

Weekly Factor Returns

Value had the strongest returns in each index. The most attractively valued stocks outperformed the least attractively valued by 2.78% in the Russell 2000 and by 1.99% in the large cap universe. The small cap Value spread was greater than one standard deviation above average.

Brian

May 12

Weekly Factor Returns

Short-term momentum (STM) experienced a reversal, particularly in the Russell 2000. Stocks that had outperformed the most over the preceding four weeks underperformed last week. The spread between stocks with the highest STM ranks and the lowest was -3.91% in the small cap universe. This was over one standard deviation below average. STM was -1.26% in the large cap universe.

Brian

May 5

Weekly Factor Returns

High Volatility stocks helped drive the markets higher. The most volatile stocks outperformed the least volatile by 8.19% in the large cap universe and by 5.10% among small caps. The large cap Volatility spread was 2.5 standard deviations above the weekly average. The small cap Volatility exceeded one standard deviation.

Brian

Apr 28

Weekly Factor Returns

The small cap universe experienced a Short-term momentum (STM) reversal. Stocks that had outperformed the most over the preceding four weeks underperformed last week. STM was flat in the large cap index.

Brian

Apr 21

Weekly Factor Returns

Volatility was positive. The stocks with the highest Volatility outperformed those with the least Volatility by 4.03% and 3.62% in the large and small cap universes, respectively. Each spread was greater than one standard deviation above average. Value was negative last week. Stocks with the most attractive valuations underperformed those with the least attractive valuations. The Value spread was -2.39% in the large cap universe and -3.62% among small caps. Both were great

Brian

Apr 14

Quarterly Market Overview - Q1 2025

Domestic equities declined while other major asset classes were positive. International Developed equities had the best performance. U.S....

Brian

Apr 11

Weekly Factor Returns

Volatility was negative. Investors sought lower Volatility stocks during the market’s decline. The stocks with the most Volatility underperf

Brian

Apr 7

Weekly Factor Returns

Volatility was lower. The stocks with the highest Volatility underperformed those with the least Volatility by 4.32% in the large cap uni...

Brian

Mar 31

Weekly Factor Returns

Volatility was positive as investors favored stocks with higher price Volatility relative to those with lower Volatility. Each spread was ..

Brian

Mar 24

Weekly Factor Returns

Medium-term momentum (MTM) rebounded from last week’s historic decline. High MTM small cap stocks rose 2.71%, on average, compared to low...

Brian

Mar 17

Weekly Factor Returns

There was an extreme Momentum reversal last week. Stocks exhibiting the most MTM within the large cap universe at the start of the week ...

Brian

Mar 10

Major asset class returns - February 2025

Monthly Market Data - February 2025

Domestic equities were among the worst performing asset classes in February. U.S. Small Cap stocks had the largest decline, followed by ...

Brian

Mar 7

Weekly Factor Returns

Value and Volatility had divergent returns, which is typical due to their inverse correlation. Volatility was negative as investors sought

Brian

Mar 3

Weekly Factor Returns

Volatility had the largest spreads in each index. Lower Volatility was favored during the broader market’s decline. The most volatile stocks

Brian

Feb 24

Weekly Factor Returns

Size had the most divergent returns between the two indices. The largest stocks outperformed the smallest by 1.10% in the Russell 1000. The

Brian

Feb 18

Monthly Market Data - January 2025

All major asset classes were positive in the first month of 2025. International Developed equities had the best performance. Commodities ...

Brian

Feb 14

Weekly Factor Returns

Stocks with the most attractive Value rankings underperformed, on average, those stocks with the weakest Value rankings in each index. The..

Brian

Feb 10

Weekly Factor Returns

Stocks exhibiting lower Volatility tended to outperform during the market’s decline. Stocks ranked highest on Volatility underperformed ...

Brian

Feb 3

Weekly Factor Returns

Volatility had the largest spreads within each index. Higher Volatility was a driver of performance. The most volatile stocks outperformed

Brian

Jan 27

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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.