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Weekly Factor Returns

A look at what factors influenced the market last week

Stock indices were positive for the last week of August. The Russell 1000 gained 2.72% and the Russell 2000 gained 3.67%. Volatility was the largest influence in each index.

Stocks with the highest Volatility ranks outperformed those with the lowest ranks by 4.21% in the large cap universe and by 3.24% among small caps. The spread in each index was greater than one standard deviation above the weekly average.

Within the Russell 2000, the remaining factors were mostly insignificant. The second-largest spread was the 0.59% difference between the largest and smallest companies in the index. Both measures of Momentum were flat – meaning there was essentially no difference in average returns between the highest and lowest ranked deciles.

Within the Russell 1000, the largest 10% of companies underperformed the smallest 10% by 2.35%. The Size spread in the large cap universe was one standard deviation below the weekly average. Momentum measures diverged. Medium-term (MTM) was positive and Short-term (STM) was negative.

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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