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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined -4.87% and the Russell 2000 declined -8.03%. Factor returns were significant, with most spreads at least one standard deviation from their averages.

During last week’s sell-off, lower Volatility stocks were in favor. The highest Volatility stocks underperformed those with the least Volatility by -8.20% an -6.83% in the large and small cap universes, respectively. Each spread was greater than two standard deviations below their averages.

Capitalization in the large cap universe was a key driver. The largest stocks in the index outperformed the smallest companies by 5.27%, on average. The same was true in the Russell 2000, with a Size spread of 3.52%. The return to Size within the large cap index was 2.5 standard deviations above its weekly average.

During the market decline, stocks that tended to perform better exhibited higher Medium-term (MTM) and Short-term (STM) momentum. Outperformers also had more attractive Value rankings relative to underperforming stocks.

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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