Factor returns were within expected ranges across the capitalization spectrum. Short-term momentum was the lone factor with directionally similar spreads within each index. Volatility was positive in the large and mid cap indices. Each spread was close to, or just above, 1.0%. Volatility was slightly negative in the small cap universe. Value was positive within the mid and small cap indices. The most attractively valued securities underperformed, on average, relative to the least attractively...

MTM experienced the largest spreads in each index. Stocks that had outperformed the most over the previous six months continued to outperform last week. The highest MTM stocks outperformed the lowest MTM stocks by 4.61%, on average, in the large cap universe and by 3.63% among small caps. Both spreads were greater than one standard deviation above average.

Value was out of favor last week. Stocks with the most attractive valuations underperformed those with the least attractive valuations. The Value spread was -1.47% in the Russell 1000 and -3.30% in the Russell 2000. The small cap Value spread was greater than one standard deviation below average.