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Weekly Factor Returns
Short-term momentum (STM) was positive in the large and mid cap indices. STM experienced a reversal in the small cap index (-2.86%). The stocks that had outperformed the most during the prior four weeks underperformed last week in the Russell 2000. The negative small cap STM spread was greater than one standard deviation below its average.
Brian
7 hours ago
Weekly Factor Returns
Medium-term momentum (MTM) experienced strong returns within each index. Stocks that had the best performance over the previous six months continued to outperform last week. Each MTM spread was over +2.0%. Short-term momentum (STM) was also positive, but to a lesser degree compared to MTM.
Brian
Jun 23
Weekly Factor Returns
Volatility was negative, which was a reversal from last week. Stocks with the most price Volatility underperformed the least volatile stocks. The Volatility spread greatest among small caps (-2.18%).
Brian
Jun 16
Weekly Factor Returns
Volatility was a major driver of returns. The most volatile stocks outperformed the least volatile by 4.69% in the large cap index, 4.53% in the mid cap index, and 7.01% among small caps. The large and mid cap Volatility spreads were greater than one standard deviation and the small cap spread was greater than two standard deviations.
Brian
Jun 9
Weekly Factor Returns
Factor returns were within expected ranges across the capitalization spectrum. Short-term momentum was the lone factor with directionally similar spreads within each index.
Volatility was positive in the large and mid cap indices. Each spread was close to, or just above, 1.0%. Volatility was slightly negative in the small cap universe.
Value was positive within the mid and small cap indices. The most attractively valued securities underperformed, on average, relative to the l
Brian
Jun 2
Weekly Factor Returns
MTM experienced the largest spreads in each index. Stocks that had outperformed the most over the previous six months continued to outperform last week. The highest MTM stocks outperformed the lowest MTM stocks by 4.61%, on average, in the large cap universe and by 3.63% among small caps. Both spreads were greater than one standard deviation above average.
Brian
May 27
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
May 19
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
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