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Weekly Factor Returns

A look at what factors influenced the market last week

Stocks were positive last week. The Russell 1000 rose 0.87% while the Russell 2000 gained 1.54%. Factor returns were within expected levels, but there were a couple directional differences between certain factors across the capitalization ranges.

The widest dispersion between large and small factor returns occurred with Medium-term momentum (MTM). The spread within the large cap universe was +0.32%, whereas the spread in the small cap universe was -1.73%. Short-term momentum (STM) returns were also divergent between the indices, although in opposite directions.

Value was a positive influence on index returns. Attractively valued stocks outperformed those with the opposite characteristic by about 1.00% in each universe. Higher Volatility stocks were also in favor, compared to stocks with the least Volatility.

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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