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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 increased 2.00% and the Russell 2000 rose 2.05%. Factor spreads were directionally similar. Once again, Volatility and Value were the largest movers.

Stocks with the highest Volatility rankings outperformed those with the least Volatility by 3.43% in the large cap universe and by 2.62% among small caps.

Value declined as stocks with less attractive rankings outperformed the most attractively valued stocks. The Value spread was -1.94% within the Russell 1000 and -1.88% in the small cap universe.

Momentum – both Medium-term (MTM) and Short-term (STM) – was positive in each capitalization range. MTM was more influential among small caps while STM was more influential among large caps.

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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