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Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 1000 and 2000 indices were little changed last week. The large cap index return was -0.08% while the small cap index return was +0.59%. Factor returns were mostly mixed, with the largest divergence occurring in Medium-term Momentum (MTM).


The graph below clearly shows the outsized return of MTM among small caps. Within our small cap universe, MTM rose 4.40%. This equated to over a 1.5 standard deviation move. Comparatively, MTM in the large cap universe realized a spread of -0.22%.


Short-term Momentum (STM) was negative in each capitalization range. Stocks that had outperformed the most over the previous four weeks underperformed last week.


Volatility and Size were divergent across the indices. The highest Volatility stocks outperformed those with the least Volatility, on average, and the largest stocks in the small cap index outperformed the smallest companies. The opposite was true in the large cap index for Volatility and Size.


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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