
Weekly Factor Returns
The Medium-term Momentum (MTM) reversal continued with -2.40% return in the large cap universe and a -1.87% return among large caps. The ...
Brian
Jul 29, 2024

Weekly Factor Returns
Domestic equities were mixed last week. The large cap Russell 1000 declined 1.82% while the small cap Russell 2000 gained 1.69%. Smaller ...
Brian
Jul 22, 2024

Weekly Factor Returns
Size in the large cap universe experienced the most significant move. The largest 10% of stocks in the Russell 1000 underperformed the small
Brian
Jul 15, 2024

Weekly Factor Returns
Size (capitalization) was an influential factor last week. The largest companies outperformed the smallest in the large cap universe by ...
Brian
Jul 8, 2024

Weekly Factor Returns
Momentum factors were negative in the large cap universe. Both Medium-term (MTM) and Short-term-term (STM) experienced declines. Momentum...
Brian
Jul 1, 2024

Weekly Factor Returns
The spread between the most attractively valued stocks and the least attractively valued stocks was +2.70% in the Russell 2000 and +1.71% in
Brian
Jun 24, 2024

Weekly Factor Returns
A look at what factors influenced the market last week Major indices were mixed last week. The Russell 1000 gained 1.47% while the...
Brian Harvey
Jun 17, 2024

Weekly Factor Returns
Within the large cap universe, Size was the predominant factor last week. The largest companies in the Russell 1000 outperformed the small..
Brian
Jun 10, 2024

Weekly Factor Returns
Medium-term momentum (MTM) in the large cap universe was +3.21%. The stocks that had outperformed the most over the prior six months cont...
Brian
May 28, 2024

Weekly Factor Returns
Factor returns were directionally similar between the two indices. Value and Volatility were the dominant influences. Each spread was ...
Brian
May 20, 2024

Weekly Factor Returns
Volatility was negative, indicating stocks exhibiting lower Volatility were rewarded last week relative to those with the highest Volatility
Brian
May 13, 2024

Weekly Factor Returns
Stocks were positive for the second consecutive week. Small caps lead over large caps with the Russell 2000 gaining 1.71% and the Russell...
Brian
May 6, 2024

Weekly Factor Returns
Value was a key influence on stock returns. Within the small cap universe, the most attractively valued stocks outperformed the least ...
Brian
Apr 22, 2024

2024 Q1 Small Cap Factor Review
Medium-term Momentum (MTM) was the clear winner among our five key factors in the first quarter. The Decile 1 - Decile 10 spread was 22.4%.
Brian
Apr 18, 2024

Weekly Factor Returns
Volatility within the small cap universe had the greatest spread, with lower Volatility stocks in favor. Stocks in the top decile ranked ...
Brian
Apr 15, 2024

Weekly Factor Returns
Domestic equities declined during the week ended April 5th. Small cap stocks dropped further than large caps. The Russell 2000 declined ...
Brian
Apr 8, 2024

Weekly Factor Returns
Factor returns were mostly in agreement across the capitalization spectrum, with Value being the lone factor with mixed spreads. Large Size
Brian
Apr 1, 2024

Weekly Factor Returns
Equities finished lower last week. The negative moves were led by small caps which declined 2.02%. It was the second straight week of ...
Brian
Mar 18, 2024

Weekly Factor Returns
Equities were positive last week, with small cap stocks outpacing large caps. Factor spreads were more pronounced in the small cap universe
Brian
Mar 4, 2024

Weekly Factor Returns
The Russell 1000 and Russell 2000 indices had diverging returns for the second straight week. This time the large cap index was positive ...
Brian
Feb 26, 2024