Weekly Factor Returns
A look at what factors influenced the market last week
The last week of Q1 2023 saw positive market returns. The Russell 1000 gained 3.67% and the Russell 2000 gained 3.96%. A Short-term momentum (STM) reversal aided large cap stocks. Higher Volatility stocks were a key component to returns in the Russell 2000.
Volatility in the small cap universe had a +5.00% spread. This was over one-and-a-half standard deviations from the weekly average. The Volatility spread was lower (+3.58%), yet still positive in the large cap universe.
There was a STM reversal, particularly in the Russell 1000. Stocks that had outperformed the most over the last four weeks underperformed by 4.88% relative to stocks with the worst four-week performance. Last week's STM spread was almost two standard deviations below the weekly average.
The best performing stocks tended to be smaller (negative Size returns) and less attractively valued (negative Value). Overall, factor returns were indicative of investors willing to take on risk.
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.