Higher Volatility was the main driver last week. Stocks exhibiting the most Volatility outperformed those with the least Volatility across the capitalization spectrum. The small cap Volatility spread was +7.28% which was greater than two standard deviations above average. The large and mid cap spread were both greater than +6.5% and were also two standard deviations above their averages.

Volatility was lower last week as investors sought stocks with lower price Volatility during the market’s decline. Stocks exhibiting the highest Volatility underperformed those with the least Volatility by 2.2% in the large and small indices. Volatility was -2.3% in the mid cap universe.

Value was a positive influence, particularly among small caps. The most attractively valued securities outperformed the least attractively valued by 4.13% in the Russell 2000. The small cap Value spread was greater than one standard deviation above average. Value was positive in the large capitalized indices, but to a lesser degree.