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Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were mixed last week. The Russell 1000 rose 0.74% while the Russell 2000 declined 1.24%. Factor returns were within normal ranges. Three of our five factors had divergent spreads between the indices.

Stocks with higher Medium-term Momentum (MTM) were drivers of positive returns in the large cap index. Negative MTM was an influence within the small cap index.

Short-term Momentum (STM) and Capitalization (Size) showed congruent returns across the two indices.

Value was slightly positive (+0.39%) in the large cap universe and was negative (-0.56%) in the small cap universe.

Stocks with the highest Volatility underperformed those with the least Volatility by 1.57% in the Russell 1000. Volatility was not a significant driver in the Russell 2000.

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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