

Weekly Factor Returns
Volatility was negative, particularly in the Russell 2000. The most volatile stocks underperformed the least volatile by 5.50%. The negative

Brian
Jan 13


Weekly Factor Returns
Smaller capitalized, weaker Value, and higher Volatility stocks were the largest drivers within the Russell 2000 index. The largest ...

Brian
Jan 6


Weekly Factor Returns
Both measures of momentum had strong returns, albeit in opposing directions. Medium-term momentum (MTM) experienced a reversal. Stocks that

Brian
Dec 30, 2024


Weekly Factor Returns
Both the large cap Russell 1000 and small cap Russell 2000 sold off last week. It was the second consecutive week both indices declined.

Brian
Dec 23, 2024


Weekly Factor Returns
Within the Russell 2000, Value and Volatility experienced opposing returns of equal magnitude. The spread between the most attractive and...

Brian
Dec 16, 2024


Monthly Market Data - November 2024
Major asset classes were mixed during November. Domestic equities were positive, along with Real Estate and Fixed Income. Non-US equity ...

Brian
Dec 13, 2024


Weekly Factor Returns
Value and Volatility experienced opposing returns, which is common due to their inverse relationship. The direction of returns differed ...

Brian
Dec 9, 2024


Weekly Factor Returns
In the small cap universe, the most attractively valued stocks underperformed the least attractively valued by +2.63%, on average. This ...

Brian
Dec 2, 2024


Weekly Factor Returns
Volatility was the biggest influence last week. Stocks with the most Volatility outperformed those with the least Volatility by +5.55% in...

Brian
Nov 25, 2024


Weekly Factor Returns
In the large cap universe, higher Short-term momentum (STM), large Size, and more attractively valued stocks tended to outperform versus ...

Brian
Nov 18, 2024
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