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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 were negative last week. The large cap index declined 1.51% and the small cap index declined 2.86%. Factor spreads were within normal ranges in the small cap universe. Spreads were more pronounced in the large cap universe.

Medium-term momentum (MTM) in the Russell 1000 made the largest move. The biggest winners over the past six months outperformed the biggest losers by 4.35%, a 1.5 standard deviation event. MTM returned 1.38% in the Russell 2000.

Capitalization (Size) was a key driver among large caps. The largest companies outperformed the smallest, on average, by 3.17%. This was also 1.5 standard deviations from the weekly average. Size was less of an influence among small caps.

Lower Volatility was a contributor to positive returns. Stocks with higher Volatility underperformed those with the least Volatility by 3.27% and 1.35% in the large and small indices, respectively.

The most attractively valued stocks outperformed the least attractive in both indices.

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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