Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 declined 0.29% and the Russell 2000 declined 2.65% in the shortened trading week ended on April 6th. Factor spreads were directionally similar between the indices and within expected return ranges.
Volatility had the greatest influence among our five key factors. The negative spread indicates higher Volatility stocks underperformed those with lower Volatility by 3.02% in the large cap universe and by 3.40% in the small cap universe.
Among the remaining four factors, spreads were greater among large caps, with the largest divergence in Short-term momentum (STM). Stocks with the highest STM outperformed those with the lowest by 2.07% in the Russell 1000 but the spread was only 0.40% in the Russell 2000.
Capitalization (Size) and Value were both positive. Taken together with negative Volatility, last week’s returns were indicative of les risk-taking.
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.