Factor returns were mostly linear across the capitalization spectrum, with the largest spreads in the small cap universe, followed by mid cap spreads, and the smallest among large caps. Medium-term momentum (MTM) was the lone factor that did not follow that exact pattern. All factor returns were positive and  within normal ranges.

Smaller companies were favored last week. The largest companies underperformed the smallest by 2.48%, on average, in the large cap index, where Size has a larger influence on the index relative to the mid and small cap universes. The large cap Size spread was greater than one standard deviation below average.

Medium-term momentum (MTM) experienced a reversal last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM was most negative in the Russell 1000 (-2.29%). Short-term momentum (STM) also reversed within the large and mid cap spaces, but was positive in the Russell 2000. The biggest winners in the large and mid cap indices over the previous four weeks tended to underperform last week.