
Brian
Sep 12, 2024
Monthly Market Data - August 2024
Small Cap stocks produced negative returns for the Core, Value, and Growth styles. Growth and Value leadership was mixed across the capital

Brian
Jan 19, 2024
2023 Small Cap Factor Review
Value was the top performer in 2023 among the five key factors we watch. Medium-term momentum (MTM) was the worst performing factor and ...

Brian
Jan 4, 2024
Top Posts of 2023
Top ten posts that piqued our readers' interests More than half our most popular blog posts were focused on factor returns. Not...

Brian
Sep 14, 2023
Value Has A Pulse
In case you missed it, Value is peeping it’s head up from the depths of despair. We have written a couple times this year on Value’s unde...

Brian
Jul 20, 2023
Halftime Update
As of June 30th, Volatility’s positive spread ranks among the top four years going back to 2000. 2009 led all years with a 95% spread, ...

Brian
Jan 20, 2023
Role Reversal
In our Factor Recap post last week, we noted the disparity between Value and Volatility returns over the course of 2022. The beginning of...

Brian
Nov 17, 2022
Short-term Reversal
Last week's STM spread ranks below the 1st percentile, meaning less than 1% of all weeks since 2000 have had lower STM spreads. There were..

Brian
Aug 11, 2022
Down Goes Value
In this Monday’s Weekly Factor Return blog, we indicated Value within the Russell 2000 experienced the biggest decline in our data history..

Brian
Jul 28, 2022
Big Momentum in Little Capitalization
Here, we will shed light on Momentum. Specifically, Medium-term momentum (MTM) within the Russell 2000. The current standard deviation of...

Brian
Jul 21, 2022
Historical Value (part 2)
The decline in equity values this year has been accompanied by an increase in market volatility. Since an initial spike in the early days...