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
Brian
Sep 9, 2024
Weekly Factor Returns
Equities were negative in the first week of September. The Russell 1000 declined 4.27% while the Russell 2000 declined 5.67%. Factor return
Brian
Sep 3, 2024
Weekly Factor Returns
Equities were flat-to-slightly positive for the last week of August. The Russell 1000 rose 0.27% and the Russell 2000 was unchanged (-0.01).
Brian
Aug 26, 2024
Weekly Factor Returns
Equities were positive last week with small cap stocks leading the way. The Russell 1000 rose 1.57% while the Russell 2000 rose 3.62%.
Brian
Aug 19, 2024
Weekly Factor Returns
Volatility was positive in each index. The most volatile stocks helped drive positive market returns. The most volatile stocks outperformed
Brian
Aug 12, 2024
Weekly Factor Returns
MTM experienced a decile 1 minus decile 10 spread of +8.67%. This was a three standard deviation event. The stocks that had outperformed the
Brian
Aug 5, 2024
Weekly Factor Returns
Factor spreads were large relative to history. Each of the five key factors exceeded one standard deviation in the small cap universe. ...
Brian
Jul 29, 2024
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 22, 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 15, 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 8, 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 1, 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
Jun 24, 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 Harvey
Jun 17, 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
Jun 10, 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
May 28, 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 20, 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 13, 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 6, 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
Apr 22, 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 ...