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Weekly Factor Returns

A look at what influenced the market last week

Small caps gained 2.2% and large caps gained 0.6%. Volatility was the only positive factor within both indices and was more pronounced in the Russell 1000, where it returned 3.1%. Size experienced divergent trends as smaller companies outperformed larger ones within the Russell 1000 and larger companies in the small cap Russell 2000 generally outperformed smaller ones. Momentum, both medium- and short-term, as well as Value saw negative returns among 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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