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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
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