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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
46 minutes ago
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
4 days ago
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