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Weekly Factor Returns
Value was heavily favored. Stocks with the most attractive valuations outperformed those with the weakest valuations, on average. The mid cap Value spread was +5.07%, the small cap Value spread was +4.90%, and the large cap Value spread was +4.72%. All three returns were greater than two standard deviations above their respective averages.
Brian
2 days ago
Weekly Factor Returns
Short-term momentum (STM) experienced a sharp reversal, particularly among large and mid cap stocks. Stocks that performed best over the preceding four weeks tended to underperform last week. The large cap STM spread was (-2.55%) was one standard deviation below its average. The mid cap STM was -2.34%.
Brian
Jul 13
Weekly Factor Returns
There was a large Medium-term momentum (MTM) reversal last week. MTM should off in each index. The MTM decline was led by small caps, which experienced a -5.82% MTM return. The negative MTM spread among small caps was greater than two standard deviations below average. The large and mid cap MTM spreads were each greater than one standard deviation below average.
Brian
Jul 6
Weekly Factor Returns
Medium-term momentum (MTM) experienced a reversal. Stocks that had outperformed the most over the previous six months tended to underperform last week. MTM dropped the most in the Russell 2000 (-3.27%). The small cap MTM spread was greater than one standard deviation below its average.
Brian
Jun 29
Weekly Factor Returns
Value was not favored last week. The most attractively valued stocks underperformed the least attractively valued by a wide margin across each index. Value declined by 3.68% in the Russell 2000, 3.87% in the Russell MidCap, and by 3.65% in the Russell 1000. The small cap Value spread was greater than one standard deviation below its average, while the large and mid cap Value spreads were each greater than two standard deviations below their averages.
Brian
Jun 22
Weekly Factor Returns
Medium-term momentum (MTM) contributed positively to the broad equity index performance. Stocks that had outperformed the most over the preceding six months continued to outperform last week. MTM was strongest in the small cap universe. The small cap MTM spread was +3.01%, which was one standard deviation above its weekly average.
Brian
Jun 15
Weekly Factor Returns
Volatility declined sharply. The most volatile stocks underperformed the least volatile by a wide margin in each index. The Volatility spread was -7.12% in the Russell 1000, -6.55% in the Russell MidCap, and -6.47% in the Russell 2000. All three spreads were at least two standard deviations below their respective averages.
Brian
Jun 8
Weekly Factor Returns
Volatility was major contributor to returns. Higher Volatility stocks outperformed lower Volatility stocks by a wide margin in each index. Volatility was highest in the Russell 1000 (+6.71%), followed by the Russell MidCap (+6.49%), and then the Russell 2000 (+5.40%). The small and mid cap Volatility spread were greater than one standard deviation above their averages. The large cap Volatility spread was two standard deviations above average.
Brian
Jun 1
Weekly Factor Returns
Both measures of momentum reversed sharply. Medium-term momentum (MTM) declined by over 2% in each index. Stocks that had outperformed the most over the previous six months tended to underperform last week. The small cap MTM spread was one standard deviation below its average.
Brian
May 26
Weekly Factor Returns
Medium-term momentum (MTM) was a major component of returns. Stocks that outperformed the most over the previous six months continued to outperform last week. MTM rose by 5.23% in the small cap universe and by 4.12% among large caps. All three spreads were greater than one standard deviation above their averages.
Brian
May 18
Medium-term Momentum Dominates in Q1
Medium-term momentum (MTM) generated the largest spread in the first quarter. Stocks that had outperformed the most over the previous six months often outperformed in the subsequent weeks. The highest momentum stocks beat the lowest momentum stocks by 15.1%, on average, during the quarter.
Brian
May 14
Weekly Factor Returns
Medium-term momentum (MTM) was the lone factor with dissimilar return profiles across each capitalization segment. MTM was positive in the large and mid cap universes and negative among small caps. Stocks that performed best over the previous six months continued to outperform in the Russell 1000 and Russell MidCap. MTM reversed in the Russell 2000. Stocks that had outperformed the most over the past six months tended to underperform last week.
Brian
May 11
Weekly Factor Returns
Size had directionally similar spreads, although the range between the largest and smallest spread was significant. Size was negligible in the Russell 1000. Size was a negative influence in the Russell 2000. The largest ten percent of companies underperformed the smallest ten percent by 3.19%, on average, in the small cap universe. The small cap Size spread was greater than one standard deviation below its average.
Brian
May 4
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
Apr 27
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