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Weekly Factor Returns

A look at what factors influenced the market last week

Stocks were positive last week with the Russell 1000 rising 0.42% and the Russell 2000 rising 1.92%. Factor spreads were all within normal ranges.

Higher Volatility stocks were in favor. The spread between those with the highest and lowest Volatility was 1.24% in the large cap universe and 1.73% among small caps.

There was a momentum reversal in the Russell 1000. Medium-term momentum (MTM) declined 1.45% in the large cap space. The negative MTM spread was less of a driver in the Russell 2000.

Smaller stocks were favored relative to larger companies. Size was negative in both indices.

The most attractively valued stocks in the Russell 1000 outperformed the least attractively valued, on average. Value did not have an influence 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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