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Weekly Factor Returns

A look at what factors influenced the market last week

Equity index returns were mostly unchanged. The Russell 1000 rose 0.33% while the Russell 2000 was essentially flat for the week. Factor returns were directionally similar and mostly within expected ranges.

Large cap Volatility was the standout. The spread between stocks with the highest Volatility and those with the least was 3.35% and equated to a one standard deviation event.

Small cap Value was negative. Within the small cap universe, the most attractively valued stocks underperformed the least attractive by 1.86%. That was one standard deviation below the weekly average.

Momentum – both medium- and short-term – and Capitalization (Size) were both negative.

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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