Market updates, factor analysis, periodic commentary, as well as company news, and other content we think will be useful, timely or entertaining.

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1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

Brian

22 hours ago

Weekly Factor Returns

Value and Volatility had divergent returns, which is typical due to their inverse correlation. Volatility was negative as investors sought

Brian

Feb 24

Weekly Factor Returns

Volatility had the largest spreads in each index. Lower Volatility was favored during the broader market’s decline. The most volatile stocks

Brian

Feb 18

Weekly Factor Returns

Size had the most divergent returns between the two indices. The largest stocks outperformed the smallest by 1.10% in the Russell 1000. The

Brian

Feb 10

Weekly Factor Returns

Stocks with the most attractive Value rankings underperformed, on average, those stocks with the weakest Value rankings in each index. The..

Brian

Feb 3

Weekly Factor Returns

Stocks exhibiting lower Volatility tended to outperform during the market’s decline. Stocks ranked highest on Volatility underperformed ...

Brian

Jan 27

Weekly Factor Returns

Volatility had the largest spreads within each index. Higher Volatility was a driver of performance. The most volatile stocks outperformed

Brian

Jan 21

Weekly Factor Returns

There was a Short-term momentum (STM) reversal in the small cap universe. Stocks that had outperformed during the previous four weeks ...

Brian

Jan 13

Weekly Factor Returns

Volatility was negative, particularly in the Russell 2000. The most volatile stocks underperformed the least volatile by 5.50%. The negative

Brian

Jan 6

Weekly Factor Returns

Smaller capitalized, weaker Value, and higher Volatility stocks were the largest drivers within the Russell 2000 index. The largest ...

Brian

Dec 30, 2024

Weekly Factor Returns

Both measures of momentum had strong returns, albeit in opposing directions. Medium-term momentum (MTM) experienced a reversal. Stocks that

Brian

Dec 23, 2024

Weekly Factor Returns

Both the large cap Russell 1000 and small cap Russell 2000 sold off last week. It was the second consecutive week both indices declined.

Brian

Dec 16, 2024

Weekly Factor Returns

Within the Russell 2000, Value and Volatility experienced opposing returns of equal magnitude. The spread between the most attractive and...

Brian

Dec 9, 2024

Weekly Factor Returns

Value and Volatility experienced opposing returns, which is common due to their inverse relationship. The direction of returns differed ...

Brian

Dec 2, 2024

Weekly Factor Returns

In the small cap universe, the most attractively valued stocks underperformed the least attractively valued by +2.63%, on average. This ...

Brian

Nov 25, 2024

Weekly Factor Returns

Volatility was the biggest influence last week. Stocks with the most Volatility outperformed those with the least Volatility by +5.55% in...

Brian

Nov 18, 2024

Weekly Factor Returns

In the large cap universe, higher Short-term momentum (STM), large Size, and more attractively valued stocks tended to outperform versus ...

Brian

Nov 11, 2024

Weekly Factor Returns

Short-term momentum (STM) had the largest returns within each index. Stocks that outperformed the most during the prior four weeks continued

Brian

Nov 4, 2024

Weekly Factor Returns

Short-term momentum (STM) experienced the biggest difference in returns. STM was positive in the Russell 1000 (+1.0%) and negative in the...

Brian

Oct 31, 2024

2024 Q3 Small Cap Factor Review

Factor returns mimicked the first quarter in terms of direction. MTM was most positive, followed by Value and Size. Short-term momentum ...

Brian

Oct 28, 2024

Weekly Factor Returns

Equity indices declined last week after two straight weeks of gains. The small cap Russell 2000 led the decline with a -2.99% return. The...

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Disclosure: This blog is a general communication being provided for informational purposes only. This information is in no way a solicitation or offer to sell securities or investment advisory services. It is educational in nature and not to be taken as advice or a recommendation for any specific investment product or investment strategy. This does not contain sufficient information to support an investment decision. Any investment or investment strategy mentioned may not be suitable for all investors or in their best interest. Statistical information, quotes, charts, references to articles or any other quoted statement or statements regarding market or other financial information is obtained from sources which we believe reliable, but we do not warrant or guarantee the timeliness or accuracy of this information. All rights are reserved. No part of this blog including text, graphics, et al, may be reproduced or copied in any format, electronic, print, et al, without written consent from Jackson Creek Investment Advisors LLC. Jackson Creek Investment Advisors LLC does not provide legal or tax advice. Please be advised to consult with your investment advisor, attorney, or tax professional before making any investment decisions.