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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 finished positively last week. The large cap index gained 2.02% and the small cap index gained 3.32%. Small cap factor returns were within normal ranges. The large cap universe experienced several larger spreads.

Within the Russell 1000, higher Volatility stocks outperformed those with lower Volatility by 3.64%. The spread was one standard deviation above the weekly average. The Volatility spread within the Russell 2000 was 1.67%.

Negative Value spreads were a theme last week as higher growth outperformed. The average return between the most attractively valued and least attractively valued stocks was -1.36% and -1.77% in the large and small universes, respectively.

Size experienced the widest divergence between the two indices. Smaller companies tended to outperform larger companies in the Russell 1000. Capitalization was less of an influence in the Russell 2000.

Medium-term momentum (MTM) was negative and Short-term momentum (STM) was a non-driver.

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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