.png)
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
20 hours 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
Weekly Factor Returns
Medium-term momentum (MTM) was negative among large and mid cap stocks. MTM was very positive in the small cap space. MTM declined by over 1.00% in the Russell 1000 and Russell MidCap. MTM rose by 3.04% in the Russell 2000. Stocks that had outperformed the most over the previous six months continued to outperform last week. The small cap MTM spread was greater than one standard deviation above average.
Brian
Mar 2
Weekly Factor Returns
Volatility experienced the largest returns among the large and mid cap indices. The most volatile stocks outperformed the least volatile by 2.60% and 2.89% in the Russell 1000 and Russell MidCap, respectively. Volatility was less influential among small caps.
Brian
Feb 23
Weekly Factor Returns
Lower Volatility was primary theme. The most volatile stocks underperformed the least volatile by 4.13% in the large cap universe. The Volatility spread was -4.00% in the small cap index and -3.72% among mid caps. Each return was greater than one standard deviation below its weekly average.
Brian
Feb 17
Weekly Factor Returns
Value was a key driver of performance last week. The most attractively valued stocks outperformed the least attractively valued by 1.72% in the small cap universe. The small cap Value spread was greater than one standard deviation above average. Value spreads were 6.66% in the Russell 1000 and 6.87% in the Russell MidCap. The large and mid cap Value spread each exceeded three standard deviations above their averages.
Brian
Feb 9
Weekly Factor Returns
Value and Volatility were the driving factors. Each spread for the two factors was at least one standard deviation from its average.
Low Volatility stocks outperformed high Volatility stocks by over 5.00% in each index. The low Volatility spread was greatest in the large and mid cap indices.
Brian
Feb 2
Weekly Factor Returns
Size was the most influential factor last week. The Size factor was negative as smaller companies tended to outperform within each index. The largest ten percent of companies within the Russell MidCap underperformed the smallest ten percent by 1.80%, on average. Size was -1.44% in the Russell 1000 where the factor has a greater influence on the overall index compared to the less capitalized indices.
Brian
Jan 26
Weekly Factor Returns
Value was out of favor last week. Stocks with the most attractive valuations tended to underperform those with weaker valuations. The small cap Value spread dominated the large and mid cap returns. The average return difference between the highest ranked and lowest ranked Value stocks in the Russell 2000 was -4.29%. The small cap Value spread was greater than two standard deviations below its average.
Brian
Jan 12
Weekly Factor Returns
Volatility was positive in each index. The most volatile stocks outperformed the least volatile, on average, across the capitalization spectrum. Volatility was strongest in the Russell 2000 where the spread was +2.01%.
Brian
Jan 5
Weekly Factor Returns
Medium-term momentum (MTM), within the small cap universe, experienced the largest move in terms of absolute return. The small cap MTM spread was +1.26%. MTM was positive in the Russell 1000 and negative among mid cap stocks.
Brian
Dec 29, 2025
Weekly Factor Returns
Medium-term momentum (MTM) reversed sharply last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM fell the most in the small cap universe (-2.78%). The small cap MTM spread was one standard deviation below its average.
Brian
Dec 15, 2025
Weekly Factor Returns
Value was negative as investors were less sensitive to prices relative to financial metrics. Stocks with the most attractive valuations underperformed those with the least attractive valuations by 5.52% in the Russell 2000, on average. The negative return to Value among small caps was the largest in terms of its exceeding normal expectations. The small cap Value return was 2.75 standard deviations below its weekly average.
Brian
Dec 8, 2025
Weekly Factor Returns
Higher Volatility was the main driver last week. Stocks exhibiting the most Volatility outperformed those with the least Volatility across the capitalization spectrum. The small cap Volatility spread was +7.28% which was greater than two standard deviations above average. The large and mid cap spread were both greater than +6.5% and were also two standard deviations above their averages.
Brian
Dec 1, 2025
Weekly Factor Returns
Volatility was lower last week as investors sought stocks with lower price Volatility during the market’s decline. Stocks exhibiting the highest Volatility underperformed those with the least Volatility by 2.2% in the large and small indices. Volatility was -2.3% in the mid cap universe.
Brian
Nov 24, 2025