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Weekly Factor Returns
Volatility had divergent returns. Lower Volatility was favored among larger and mid cap stocks. Volatility declined 2.20% in the Russell 1000. The large cap Volatility return was the largest absolute spread among all factors. Volatility declined 1.92% in the mid cap space. Higher Volatility was rewarded in the Russell 2000.
Brian
59 minutes ago
Weekly Factor Returns
Volatility was a big driver of returns. Stocks with the most Volatility outperformed those with the least Volatility, on average. The spread between the top and bottom deciles was +9.20% in the Russell 2000, +8.25% in the Russell MidCap, and +8.02% in the Russell 1000. Each spread was greater than two standard deviations above their averages.
Brian
Apr 20
Weekly Factor Returns
Medium-term momentum (MTM) was a driving factor. Stocks that had outperformed the most over the previous six months continued to outperform last week. MTM was highest in the mid cap (+4.08%) and large cap (+3.48%) universes. Each spread was greater than one standard deviation above its average.
Brian
Apr 13
Weekly Factor Returns
Volatility was higher last week. Stocks with the highest Volatility outperformed those with the least Volatility. Volatility was most influential in the small cap universe (+2.35%). The Volatility spread was +1.53%.
Brian
Apr 6
Weekly Factor Returns
Medium-term momentum (MTM) was positive across the board. Stocks that had outperformed the most over the past six months continued to outperform last week. The MTM spread was +2.79% in the large cap universe and +3.42% among small caps. All three spreads were greater than one standard deviation above average.
Brian
Mar 30
Weekly Factor Returns
Medium-term momentum (MTM) was positive in each index. Stocks that had outperformed the most over the previous six months continued to outperform last week. MTM was strongest in the Russell 2000 where the spread was +1.99%. MTM rose over 1.00% in the large and small indices as well.
Brian
Mar 23
Weekly Factor Returns
Medium-term momentum (MTM) was sharply negative. The stocks that outperformed the most over the previous six months underperformed last week. The MTM spread was -5.39% in the Russell 1000 and -5.65% in the Russell MidCap. Each spread was two standard deviations below their averages. The small cap MTM spread was greater than one standard deviation below average.
Brian
Mar 9