Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 was flat on the week (-0.03%) while the Russell 2000 gained 1.47%. Four of our five key factors were directionally similar across the capitalization ranges. Factor returns were largely within expected ranges, with large Value the lone exception.
Higher Volatility stocks were in favor relative to stocks with lower Volatility. Volatility spreads were about 2.0% in each universe.
Value stocks underperformed. The most expensive stocks outperformed the least expensive by 2.60 among large caps and by 1.49% among small caps.
Medium-term momentum (MTM) experienced a reversal last week, notably in the large cap universe. Larger capitalized stocks underperformed smaller issues, on average.
Short-term momentum (STM) stocks continued to outperform in the Russell 1000 but was less of an influence within the Russell 2000.
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.