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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 2.64% and the Russell 2000 up 0.58%. Factor spreads were mostly within normal ranges. Medium-term momentum (MTM) was the only exception.

Small cap stocks experienced a MTM reversal last week. Stocks with the highest MTM underperformed those with the least MTM by 2.64%. This equated to a one standard deviation event. This follows a MTM reversal in the large cap universe the week prior.

Volatility was the only other key factor that had spreads larger than +/- 1.0% in both capitalization universes. Volatility had a 1.70% and 1.16% spread among large and small cap stocks, respectively.

Capitalization (Size) was a non-driver in the Russell 1000. Smaller companies outperformed larger companies in the Russell 2000, on average.

Value was slightly negative. Short-term momentum (STM) was mixed.

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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