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Weekly Factor Returns

A look at what factor returns influenced the market last week

Equity indices moved higher last week. The smaller capitalized Russell 2000 gained 1.52% and the Russell 1000 gained 0.71%. Most factor spreads were within normal ranges.

Last week experienced a Medium-term momentum reversal. It was more pronounced in the large cap universe. Higher MTM large cap stocks underperformed those with the least MTM by 3.04%. That was greater than one standard deviation below the weekly average.

Value was a key driver of index returns. Stocks with more attractive Value ranks outperformed those with poorer Value ranks by 1.38% among large caps and by 1.05% in the Russell 2000.

Volatility played a role in the small cap universe with a spread of 1.59%.

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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