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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and 2000 were negative last week. The large cap index lost 1.08% and the small cap index lost 1.26%.

Large cap factor returns were within expected ranges. Two of the five key factors in the small cap universe were outside their normal ranges.

Stocks that were smaller in Size, had higher Volatility, and the least Momentum tended to outperform those with the opposite characteristics.

Value was not an influential return driven among large cap stocks. The most attractively valued stocks in the small cap universe underperformed those with the least attractive Value rankings.

Both Medium-term momentum (MTM) and Size, within the small cap universe, had spreads that were greater than one standard deviation below their averages.

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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