Weekly Factor Returns
A look at what factors influenced the market last week
Volatility within small caps generated the largest return last week. Higher volatility stocks outperformed lower volatility by 3.8% among Russell 2000 constituents. Short-term momentum returned 2.0%. Size and Value both declined in the small cap universe. In the Russell 1000, Volatility was not a significant driver of returns. Short-term momentum and Value were the most positive, while Medium-term momentum and Size each declined slightly. Overall, the Russell 1000 gained 0.55% and the Russell 2000 gained 0.78%.
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.