top of page

Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 2.68% and the Russell 2000 declined 2.86% in the holiday-shortened week. It was the biggest drop of the year for the large cap index and the second biggest for the small cap index. Factor returns were mostly within normal ranges, with Volatility the lone exception.

High Volatility stocks declined last week relative to lower Volatility stocks. The spread between the top and bottom deciles was -3.83% in the large cap universe and -5.14% in the small cap universe. Each was more than one standard deviation below its average.

Medium-term momentum (MTM) had the second largest spread in the Russell 1000 (+2.47%), while Size was the second largest in the Russell 2000 (+1.80%).

More attractively valued stocks outperformed those with weaker Value rankings in each index.

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.


bottom of page