Weekly Factor Returns

A look at what influenced the market last week


The Russell 1000 (+2.66%) handily beat the smaller capitalized Russell 2000 (-0.46%). Size was the leading factor in the large cap universe with some of the “FAAMG” names pulling up the index. Medium-term momentum was the only one our five factors that had inverse returns, although the magnitude of the difference was not significant. On the negative side, Volatility declined by 3.08% in the small cap space and declined 1.62% in large caps.




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.

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