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Weekly Factor Returns

A look at what factors influenced the market last week

Equity indices finished negatively last week after three consecutive weeks of gains. The Russell 1000 declined 2.23% and the Russell 2000 declined 1.19%. Factor spreads were all within expected ranges. Three factors experienced divergent returns between the two indices.

In the large cap universe, Medium-term momentum (MTM) had the widest spread. Stocks that outperformed the most over the past six months continued to beat those stocks with the greatest six-month underperformance.

Value and Size were influential in the Russell 1000. Larger and more attractively valued stocks tended to outperform relative to stocks with the opposite characteristics. Lower Volatility stocks also fared better, on average, in the large cap space.

Low Volatility was the most influential factor in the small cap universe. Stocks with the highest Volatility underperformed those with the least Volatility by 3.19%.

Better Value, smaller capitalized, and lower Momentum (medium- and short-term) were each underlying drivers of small cap returns 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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