

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
4 days ago


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


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. Â The most volatile stocks outperformed

Brian
Jan 27


Quarterly Market Overview - Q4 2024
U.S. Large Cap stocks were the only equities to make any real gains. Mid & Small Caps were barely positive. Developed markets outside of ...

Brian
Jan 23


Weekly Factor Returns
There was a Short-term momentum (STM) reversal in the small cap universe. Stocks that had outperformed during the previous four weeks ...

Brian
Jan 21


Weekly Factor Returns
Volatility was negative, particularly in the Russell 2000. The most volatile stocks underperformed the least volatile by 5.50%. The negative

Brian
Jan 13