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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, 2025
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, 2025
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, 2025
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, 2025
Weekly Factor Returns
Medium-term momentum (MTM) experienced a reversal last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM was most negative in the Russell 1000 (-2.29%). Short-term momentum (STM) also reversed within the large and mid cap spaces, but was positive in the Russell 2000. The biggest winners in the large and mid cap indices over the previous four weeks tended to underperform last week.
Brian
Aug 18, 2025
Weekly Factor Returns
Size had diverging returns between large and small cap stocks. Within the Russell 1000, the largest ten percent of stocks outperformed the smallest ten percent, on average. The opposite was true in the Russell 2000, where the smallest stocks tended to outperform the largest stocks. The negative small cap Size spread (-4.19%) was just under two standard deviations below its weekly average.
Brian
Aug 11, 2025
Weekly Factor Returns
Medium-term momentum (MTM) was strong across each index. Stocks that outperformed the most over the previous six months continued to outperform last week. MTM was highest in the Russell 2000 (+5.03%). Each MTM spread was greater than one standard deviation above average.
Brian
Aug 11, 2025
Weekly Factor Returns
Stocks that outperformed the most over the previous six months continued to outperform last week, compared to those stocks that underperformed the most over the previous six months. MTM spreads were more than one standard deviation below their averages in each index.
Brian
Jul 28, 2025
Weekly Factor Returns
Value was not favored last week. Stocks with the least attractive valuations outperformed those with the most attractive valuations, on average. The negative Value spread was greatest in the small cap space (-5.67%). The large cap Value spread was -4.18%. Each value spread was greater than two standard deviations below its average.
Brian
Jul 21, 2025
Quarterly Market Data - June 2025
Global equities had strong performances in the second quarter of 2025. Non-U.S. market edged out U.S. Large Cap for the top two spots.
U.S. Mid and U.S. Small Cap had the lowest equity returns at just under 8.50% each.
Fixed Income generated a small positive return in the three-month period. Interest rate moves at the short and long durations (see below) hindered bond returns.
Hard assets were lower. The Real Estate class declined 1.15%. A broad basket of commodities declined
Brian
Jul 18, 2025