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Weekly Factor Returns
Volatility was a driving factor last week. Within the Russell 2000, the most volatile stocks outperformed the least volatile by 5.06%, on average. Volatility spreads were +3.53% and +3.81% in the large and mid cap universes, respectively. All spreads were greater than one standard deviation above their averages.
Brian
Oct 6
Weekly Factor Returns
Smaller companies were favored last week. The largest companies underperformed the smallest by 2.48%, on average, in the large cap index, where Size has a larger influence on the index relative to the mid and small cap universes. The large cap Size spread was greater than one standard deviation below average.
Brian
Aug 25
Weekly Factor Returns
Medium-term momentum (MTM) experienced a reversal last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM was most negative in the Russell 1000 (-2.29%). Short-term momentum (STM) also reversed within the large and mid cap spaces, but was positive in the Russell 2000. The biggest winners in the large and mid cap indices over the previous four weeks tended to underperform last week.
Brian
Aug 18
Weekly Factor Returns
Size had diverging returns between large and small cap stocks. Within the Russell 1000, the largest ten percent of stocks outperformed the smallest ten percent, on average. The opposite was true in the Russell 2000, where the smallest stocks tended to outperform the largest stocks. The negative small cap Size spread (-4.19%) was just under two standard deviations below its weekly average.
Brian
Aug 11
Weekly Factor Returns
Medium-term momentum (MTM) was strong across each index. Stocks that outperformed the most over the previous six months continued to outperform last week. MTM was highest in the Russell 2000 (+5.03%). Each MTM spread was greater than one standard deviation above average.
Brian
Aug 11
Weekly Factor Returns
Stocks that outperformed the most over the previous six months continued to outperform last week, compared to those stocks that underperformed the most over the previous six months. MTM spreads were more than one standard deviation below their averages in each index.
Brian
Jul 28
Weekly Factor Returns
Value was not favored last week. Stocks with the least attractive valuations outperformed those with the most attractive valuations, on average. The negative Value spread was greatest in the small cap space (-5.67%). The large cap Value spread was -4.18%. Each value spread was greater than two standard deviations below its average.
Brian
Jul 21