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Weekly Factor Returns

A look at what factors influenced the market last week


Both the Russell 1000 (+0.99%) and the Russell 2000 (+1.09%) rose by similar amounts. All factor spreads were within normal ranges.


Volatility had the greatest magnitude of absolute returns within both indices. The highest Volatility stocks outperformed the least volatile by 2.92% in the large cap space and by 2.10% among small caps.


Short-term momentum (STM) was positive, particularly in the Russell 2000. Medium-term momentum (MTM) was less significant.


Value was the lone factor with diverging returns last week. Value was a positive influence among small caps, but mildly negative among large caps.


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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