Brian
6 days ago
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...
Brian
Oct 21, 2024
Weekly Factor Returns
Equities were positive for the second consecutive week. The Russell 1000 gained 0.93% while the Russell 2000 gained 1.87%. Small cap fact...
Brian
Oct 14, 2024
Weekly Factor Returns
Both measures of Momentum experienced a reversal in the Russell 2000. The recent winners over the previous six months underperformed last...
Brian
Oct 7, 2024
Weekly Factor Returns
Stocks that outperformed in the large cap index tended to be larger and have been the best outperformers over the short- and medium-term hor
Brian
Sep 30, 2024
Weekly Factor Returns
Recent winners reversed last week with STM producing negative spreads. Stocks that had rose the most over the previous four weeks ...
Brian
Sep 23, 2024
Weekly Factor Returns
Domestic equities rose for the second consecutive week. The Russell 1000 gained 1.51% and the Russell 2000 gained 2.10%.
Volatility was a...
Brian
Sep 16, 2024
Weekly Factor Returns
Volatility was a key driver of returns in both indices. Stocks with the highest Volatility rankings outperformed those with the lowest ranks