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Weekly Factor Returns

A look at what factors influenced the market last week

Stocks were lower for the third consecutive week. The Russel 1000 declined 2.12% while the Russell 2000 declined 3.36%. Higher Volatility stocks led the market lower.

Volatility had the largest returns, both relative to other factors and to its own history. The Volatility spread was -4.69% in the Russell 2000 – a 1.5 standard deviation event. Volatility’s 3.63% decline in the Russell 1000 was also one standard deviation below average.

The largest companies outperformed the least capitalized in both indices. Size’s +2.00% spread in the large cap universe was one standard deviation above average.

Value was more influential among small caps, compared to large caps. The most attractively valued companies outperformed relative to the least attractively valued by +2.27%. Last week’s Value spread was one standard deviation above average.

Both measures of Momentum were divergent between the Russell indices. Medium-term and Short-term momentum were positive among large caps, but negative in the small cap universe.

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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