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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
52 minutes ago
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