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Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets rose last week with the smaller capitalized Russell 2000 (+3.58%) beating the large cap Russell 1000 (+2.58%).

Higher Volatility and less attractive Value were key drivers. Value generated the largest moves relative to its own history.

Stocks with the most Volatility outperformed those with the least by 3.01% in the small cap universe and by 2.69% among large caps.

Value was negative as higher growth stocks were more in favor. The Value spread was about one standard deviation below average for each index.

Medium-term Momentum (MTM) was positive in each index. Stocks with the greatest outperformance over the past six months continued to outperform last week.

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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