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.

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.

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.