Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 1000 and Russell 2000 each produced solid gains in the last week of May after five weeks of negative-to-flat returns. The large cap index gained 1.3% and the small cap index rose 2.5%. Volatility performed best in both indices. Value was the worst performing factor in each.


The greatest return differences between the large and small cap indices occurred within the Medium-term momentum and Size factors. In the Russell 2000 universe, previous winners (higher momentum) beat previous laggards (lower momentum) by 3.5%. Medium-term momentum was flat in the Russell 1000. Among the smaller cap Russell 2000 stocks, larger companies outperformed versus smaller ones. Conversely, in the Russell 1000, smaller companies outperformed larger ones, on average.


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

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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