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Weekly Factor Returns
Medium-term momentum (MTM) reversed sharply last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM fell the most in the small cap universe (-2.78%). The small cap MTM spread was one standard deviation below its average.
Brian
2 days ago
Weekly Factor Returns
Value was negative as investors were less sensitive to prices relative to financial metrics. Stocks with the most attractive valuations underperformed those with the least attractive valuations by 5.52% in the Russell 2000, on average. The negative return to Value among small caps was the largest in terms of its exceeding normal expectations. The small cap Value return was 2.75 standard deviations below its weekly average.
Brian
Dec 8
Weekly Factor Returns
Higher Volatility was the main driver last week. Stocks exhibiting the most Volatility outperformed those with the least Volatility across the capitalization spectrum. The small cap Volatility spread was +7.28% which was greater than two standard deviations above average. The large and mid cap spread were both greater than +6.5% and were also two standard deviations above their averages.
Brian
Dec 1
Weekly Factor Returns
Volatility was lower last week as investors sought stocks with lower price Volatility during the market’s decline. Stocks exhibiting the highest Volatility underperformed those with the least Volatility by 2.2% in the large and small indices. Volatility was -2.3% in the mid cap universe.
Brian
Nov 24
Weekly Factor Returns
Value was a positive influence, particularly among small caps. The most attractively valued securities outperformed the least attractively valued by 4.13% in the Russell 2000. The small cap Value spread was greater than one standard deviation above average. Value was positive in the large capitalized indices, but to a lesser degree.
Brian
Nov 17
High Volatility Continues to Rule the Day (and Market)
Factor returns were mostly subdued in the third quarter, except for Volatility, which continues to dominate other factor’s returns.
Higher Volatility stocks rose by 6.5% more than low Volatility stocks, an average. The Volatility spread contracted from last quarter but remained the top performing factor in the quarter and year-to-date. Volatility is up 8.7% in 2025.
Brian
Nov 13
Weekly Factor Returns
Value was a clear performance driver across all stocks. The most attractively valued securities outperformed the least attractive by 3.65% and 4.07% in the large and mid cap universes, respectively. The large cap spread was greater than one standard deviation above average, while the mid cap spread was two standard deviations above average. In the small cap universe, the Value spread was +7.36%. This equated to a three standard deviation move.
Brian
Nov 10
Weekly Factor Returns
Medium-term momentum (MTM) was a strong driver of returns, particularly in the large and mid cap universes. Stocks that outperformed the most over the previous six months continued to outperform last week. The large cap MTM spread was +4.46% and the mid cap MTM spread was +4.02%. Both were greater than one standard deviation above their respective average.
Brian
Nov 3
Weekly Factor Returns
Medium-term momentum (MTM) was strong in the large and mid cap indices. The MTM spread in the Russell MidCap was over 4.0%, while the large cap MTM spread was 3.23%. Both returns were greater than one standard deviation above their average. MTM in the small cap space experienced a small negative return.
Brian
Oct 27
Weekly Factor Returns
Medium-term momentum (MTM) was the lone factor with similar returns across all three indices in both direction and magnitude. Stocks that had outperformed the most over the past six months continued to outperform last week. MTM spreads were linear across the capitalization spectrum.
Brian
Oct 20
Weekly Factor Returns
Value was negative. The most attractively valued stocks underperformed the least attractively valued by 3.88% in the small cap universe, by 2.97% in the mid cap universe, and by 2.81% among large caps. Each spread was greater than one standard deviation below its weekly average.
Brian
Oct 13
Weekly Factor Returns
Volatility was a driving factor last week. Within the Russell 2000, the most volatile stocks outperformed the least volatile by 5.06%, on average. Volatility spreads were +3.53% and +3.81% in the large and mid cap universes, respectively. All spreads were greater than one standard deviation above their averages.
Brian
Oct 6
Weekly Factor Returns
Both measures of Momentum were negative. Medium-term momentum (MTM) and Short-term momentum (STM) declined the most in the large and mid cap universes. Stocks that had outperformed the most over the past six months and four weeks tended to underperform last week.
Brian
Sep 29
Weekly Factor Returns
Medium-term momentum (MTM) was positive. Stocks that had outperformed the most over the preceding six months continued to outperform last week. Each MTM spread was greater than one standard deviation above average. Short-term momentum (STM) was slightly negative in each index.
Brian
Sep 22
Monthly Market Data - August 2025
Most asset classes were positive; Treasury yields moved lower Asset Class Returns Major Asset Class Returns for the Month Ending August...
Brian
Sep 18
Weekly Factor Returns
Medium-term momentum (MTM) was influential. The stocks that outperformed the most over the past six months continued to outperform last week. MTM spreads ranged from +2.95% (mid caps) to +4.54% (small caps). All three returns were greater than one standard deviation above their averages.
Brian
Sep 15
Weekly Factor Blog
Short-term momentum was the strongest factor in each index with each spread about +2.3%. Stocks that outperformed the most over the previous four weeks continued to outperform last week. The large and small STM spreads were just at one standard deviation above average.
Brian
Sep 8
Weekly Factor Returns
Factor returns were mostly linear across the capitalization spectrum, with the largest spreads in the small cap universe, followed by mid cap spreads, and the smallest among large caps. Medium-term momentum (MTM) was the lone factor that did not follow that exact pattern. All factor returns were positive and within normal ranges.
Brian
Sep 2
Weekly Factor Returns
Smaller companies were favored last week. The largest companies underperformed the smallest by 2.48%, on average, in the large cap index, where Size has a larger influence on the index relative to the mid and small cap universes. The large cap Size spread was greater than one standard deviation below average.
Brian
Aug 25
Monthly Market Data - July 2025
Major asset classes were mixed in July. Domestic equities were positive while International Developed equities were negative. Emerging Market equities posted small gains.
Rising yields pressured Fixed Income securities (more below). The broad bond ETF declined by 0.26%.
The two physical assets had diverging returns. Commodities produced the best return in July with Gold up 1% and the price of Oil up over 6%. Real Estate had the second-worst return with a 0.97% decline.
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Brian Harvey
Aug 21