
Role Reversal
In our Factor Recap post last week, we noted the disparity between Value and Volatility returns over the course of 2022. The beginning of...
Brian
Jan 20, 2023

Weekly Factor Returns
The Russell 1000 gained 2.93% while the Russell 2000 gained 5.27%. Factor Returns were extreme in each index. Spreads in the large cap ...
Brian
Jan 17, 2023

2022 Factor Recap
The large cap Russell 1000 declined 19% and the small cap Russell 2000 declined 20%. It's no surprise that 2022 was not a good year for ...
Brian
Jan 13, 2023

Weekly Factor Returns
The Russell 1000 and Russell 2000 each finished the first week of the year positively. The large cap index gained 1.45% and the small cap...
Brian
Jan 10, 2023

Weekly Factor Returns
Stocks were generally flat for the holiday-shortened final trading week of 2022. The Russell 1000 declined 0.07% and the Russell 2000 rose..
Brian
Jan 3, 2023

Weekly Factor Returns
Index returns were slightly negative. The Russell 1000 declined 0.22% and the Russell 2000 declined 0.12%. Factor returns were stronger ...
Brian
Dec 27, 2022

Weekly Factor Returns
The Russell 1000 declined 2.00% and the Russell 2000 declined 1.81%. It was the second consecutive week of negative returns for the indices.
Brian
Dec 19, 2022

Weekly Factor Returns
Stocks in the highest decile of Volatility underperformed the least volatile by 5.20% among large caps and by 4.45% among small caps.
Brian
Dec 12, 2022

Weekly Factor Returns
The Russell 1000 returned 1.26% and the Russell 2000 returned 1.33%. Factor returns were largely similar and within expected ranges.
Brian
Dec 5, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 finished positive in the holiday-shortened week. The large cap index rose 1.56% and the small cap index...
Brian
Nov 28, 2022

Weekly Factor Returns
A look at what factors influenced the market last week The Russell 1000 and Russell 2000 were negative last week after the strong rally...
Brian
Nov 21, 2022

Short-term Reversal
Last week's STM spread ranks below the 1st percentile, meaning less than 1% of all weeks since 2000 have had lower STM spreads. There were..
Brian
Nov 17, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 indices were sharply higher last week. The large cap index gained 6.10% while the small cap index gained..
Brian
Nov 14, 2022

Weekly Factor Returns
The Russell 1000 declined 3.39% and the Russell 2000 declined 2.53%. Factor returns were not extreme with most falling within expected ...
Brian
Nov 7, 2022

Weekly Factor Returns
Equity markets posted gains for the second consecutive week. The Russell 1000 gained 4.02% and the Russell 2000 gained 6.02%. Factor spreads
Brian
Oct 31, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 indices posted positive returns last week. The larger cap index gained 4.67% while the smaller cap index..
Brian
Oct 24, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 indices declined again last week. This was the fourth weekly drop in the last five and seventh in the ...
Brian
Oct 17, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 ended positive last week despite a large Friday decline. The small cap index outperformed the large cap...
Brian
Oct 10, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 declined for the third straight week. The large cap index fell 2.7.0% compared to the smaller cap index...
Brian
Oct 3, 2022

Weekly Factor Returns
The Russell 1000 and Russell 2000 each experienced sharp declines last week. The Russell 1000 dropped 4.88% and the Russell 2000 dropped...
Brian
Sep 26, 2022