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Weekly Factor Returns
Value was a clear performance driver across all stocks. The most attractively valued securities outperformed the least attractive by 3.65% and 4.07% in the large and mid cap universes, respectively. The large cap spread was greater than one standard deviation above average, while the mid cap spread was two standard deviations above average. In the small cap universe, the Value spread was +7.36%. This equated to a three standard deviation move.
Brian
Nov 10
Weekly Factor Returns
Medium-term momentum (MTM) was a strong driver of returns, particularly in the large and mid cap universes. Stocks that outperformed the most over the previous six months continued to outperform last week. The large cap MTM spread was +4.46% and the mid cap MTM spread was +4.02%. Both were greater than one standard deviation above their respective average.
Brian
Nov 3
Weekly Factor Returns
Medium-term momentum (MTM) was strong in the large and mid cap indices. The MTM spread in the Russell MidCap was over 4.0%, while the large cap MTM spread was 3.23%. Both returns were greater than one standard deviation above their average. MTM in the small cap space experienced a small negative return.
Brian
Oct 27
Weekly Factor Returns
Medium-term momentum (MTM) was the lone factor with similar returns across all three indices in both direction and magnitude. Stocks that had outperformed the most over the past six months continued to outperform last week. MTM spreads were linear across the capitalization spectrum.
Brian
Oct 20
Weekly Factor Returns
Value was negative. The most attractively valued stocks underperformed the least attractively valued by 3.88% in the small cap universe, by 2.97% in the mid cap universe, and by 2.81% among large caps. Each spread was greater than one standard deviation below its weekly average.
Brian
Oct 13
Weekly Factor Returns
Both measures of Momentum were negative. Medium-term momentum (MTM) and Short-term momentum (STM) declined the most in the large and mid cap universes. Stocks that had outperformed the most over the past six months and four weeks tended to underperform last week.
Brian
Sep 29
Weekly Factor Returns
Medium-term momentum (MTM) was positive. Stocks that had outperformed the most over the preceding six months continued to outperform last week. Each MTM spread was greater than one standard deviation above average. Short-term momentum (STM) was slightly negative in each index.
Brian
Sep 22