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Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 1000 gained 2.51% and the Russell 2000 gained 3.75% last week. Index returns were influenced by several factors with returns outside normal ranges.


In the large cap universe, higher Volatility, and smaller capitalization (Size), were favored relative to stocks with the opposite characteristics. The top-bottom decile spread for Volatility was 3.83%, a one standard deviation event. The negative 2.74% spread for Size was also one standard deviation below average.


Within the Russell 2000, Medium-term (MTM), Short-term (STM) momentum, and Volatility each produced spreads at or above one standard deviation. The spread between the biggest winners and losers over the previous six months (MTM) was 2.97%, while the spread between winners and losers over the past four weeks (STM) was 2.27%. Small cap stocks with the highest Volatility outperformed those with the least Volatility by 2.74%.


Value spreads were divergent between the two indices. Value had a small positive influence on the small cap index, while the most attractively valued large cap stocks slightly underperformed stocks with the lowest Value rankings.


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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