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Weekly Factor Returns
Both measures of momentum had sizeable moves last week. Medium-term momentum (MTM) experienced a reversal with negative spreads across each index. Stocks that had outperformed the most over the past six months tended to underperform last week. MTM had the largest decline within the mid cap universe.
Brian
Jul 14, 2025
Weekly Factor Returns
Index gains were driven by a MTM reversal. Stocks that had outperformed the most over the previous six months underperformed last week. The large and mid cap MTM spreads were each greater than one standard deviation below their averages. The small cap MTM spread (-5.83%) was greater than two standard deviations below its average.
Brian
Jul 7, 2025
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
Jun 30, 2025
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, 2025
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, 2025
Monthly Market Data - May 2025
Domestic equities were among the worst performing asset classes in February. U.S. Small Cap stocks had the largest decline, followed by ...
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Brian Harvey
Jun 12, 2025
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, 2025
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, 2025
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, 2025
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, 2025