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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
2025 Q2 Small Cap Factor Review
Higher Volatility was a major theme in the second quarter. The small cap Volatility spread was 25.3% in Q2. This was by far the largest spread among the five key factors. The average return of the most volatile ten percent of stocks was 25.3% greater than the average return of the ten percent of stocks with the least Volatility. Volatility is now positive for the year.
Brian
Sep 11
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