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Muted Q4 Returns but Unusual Annual Returns
Factor returns were generally underwhelming in the fourth quarter.
Value had the largest absolute return. Investors were more concerned about valuation levels as Value was positive. The most attractively valued stocks outperformed the least attractive by 8.26%, on average. This was the first quarter Value was positive since Q1. Due to poor performance in Q2 and Q3, Value is negative for the full year. Value’s 2025 return was -1.43%.
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Brian Harvey
Feb 6
Weekly Factor Returns
Value and Volatility were the driving factors. Each spread for the two factors was at least one standard deviation from its average.
Low Volatility stocks outperformed high Volatility stocks by over 5.00% in each index. The low Volatility spread was greatest in the large and mid cap indices.
Brian
Feb 2
Weekly Factor Returns
Size was the most influential factor last week. The Size factor was negative as smaller companies tended to outperform within each index. The largest ten percent of companies within the Russell MidCap underperformed the smallest ten percent by 1.80%, on average. Size was -1.44% in the Russell 1000 where the factor has a greater influence on the overall index compared to the less capitalized indices.
Brian
Jan 26
Weekly Factor Returns
Weak Value was a major theme last week. Negative Value spreads occurred within each index. The stocks with the most attractive Value rankings underperformed those with the weakest rankings by 3.20% in the Russell MidCap index. Value spreads were greater than -2.00 in both the small and large cap indices. Each Value return was greater than one standard deviation below its weekly average.
Brian
Jan 20
Weekly Factor Returns
Value was out of favor last week. Stocks with the most attractive valuations tended to underperform those with weaker valuations. The small cap Value spread dominated the large and mid cap returns. The average return difference between the highest ranked and lowest ranked Value stocks in the Russell 2000 was -4.29%. The small cap Value spread was greater than two standard deviations below its average.
Brian
Jan 12
Weekly Factor Returns
Volatility was positive in each index. The most volatile stocks outperformed the least volatile, on average, across the capitalization spectrum. Volatility was strongest in the Russell 2000 where the spread was +2.01%.
Brian
Jan 5
Weekly Factor Returns
Medium-term momentum (MTM), within the small cap universe, experienced the largest move in terms of absolute return. The small cap MTM spread was +1.26%. MTM was positive in the Russell 1000 and negative among mid cap stocks.
Brian
Dec 29, 2025
Weekly Factor Returns
Value had mixed results between small cap stocks and mid and large cap stocks. Value was favored in the Russell 2000 where the most attractively valued stocks outperformed the least attractively valued by 1.26%. Value was not a determining factor among large and mid cap stocks.
Brian
Dec 22, 2025
Weekly Factor Returns
Medium-term momentum (MTM) reversed sharply last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM fell the most in the small cap universe (-2.78%). The small cap MTM spread was one standard deviation below its average.
Brian
Dec 15, 2025
Weekly Factor Returns
Value was negative as investors were less sensitive to prices relative to financial metrics. Stocks with the most attractive valuations underperformed those with the least attractive valuations by 5.52% in the Russell 2000, on average. The negative return to Value among small caps was the largest in terms of its exceeding normal expectations. The small cap Value return was 2.75 standard deviations below its weekly average.
Brian
Dec 8, 2025