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Weekly Factor Returns

A look at what factors influenced the market last week

Major indices were mixed last week. The Russell 1000 rose 1.25% while the Russell 2000 declined 2.57%. Factor returns were directionally similar across the capitalization ranges. Spreads were larger among small caps, relative to large caps, for Momentum and Size. Value and Volatility experienced wider spreads within the large cap universe.

Short-term momentum (STM) was positive. Stocks that outperformed the most over the past four weeks continued their outperformance last week. The STM return in the Russell 2000 was approximately two standard deviations above its average.

Size (capitalization) was a key factor last week. The largest companies in each index outperformed the smallest, on average.

Value and Volatility were both negative. The factors typically are inversely correlated. The negative sentiment in banking stocks last week likely affected Value’s performance. Lower Volatility stocks outperformed those with the highest Volatility.

Medium-term momentum (MTM) had the widest return difference between the indices. MTM was +3.07% in the small cap universe, but only +0.38% in the large cap universe.

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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