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Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were slightly negative last week. The Russell 1000 declined 0.77% while the Russell 2000 declined 0.49%. Certain factor spreads exceeded their normal ranges.

In the small cap universe, Value was the largest mover. The most attractively valued stocks underperformed the most expensive by 3.43%. This equated to a 1.8 standard deviation event. Value was the only factor where the spread was greater in the small cap universe relative to its large cap spread.

In the large cap universe, Medium-term Momentum (MTM) experienced the greatest move. Stocks that had outperformed the most over the past six months continued to outperform. The spread between the highest and lowest ranked MTM stocks was 3.68%. The MTM return was over one standard deviation above its average.

Capitalization was another key factor in the large cap index. The largest stocks outperformed the smallest by 2.37%. This was greater than one standard deviation above its average.

Volatility was negative in each index as stocks with lower Volatility tended to outperform.

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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