Weekly Factor Returns

Updated: Apr 29

A look at what influenced the market last week


The Russell 2000 rose 0.9% compared to the Russell 1000’s 1.5% gain. Even though the larger cap index outperformed, factor returns measured in the Russell 1000 were mostly below those measured in the Russell 2000, except for Medium term Momentum. Medium term Momentum and Volatility each declined 1.5% in the large cap space. Value was the biggest gainer. Size (+3.4%) and Value (+3.0) led in the Russell 2000 last week while Volatility declined over 4%.



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

In this series, we highlight several factors’ returns along with the broad index. These are factors – or stock characteristics – we monitor closely. Factor returns equal the difference in the average return of the highest ranked 10% (decile 1) of stocks minus the lowest ranked 10% (decile 10) within each metric. Returns are based on stocks that pass our screen for liquidity, price, and analyst coverage; therefore, some index constitutes are excluded (except for index return). Ranks are sector neutral and equal weight. Stocks are ranked one week before the return period date, with returns calculated for the following week.


Read factor explanations here.

Back