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Weekly Factor Returns

A look at what factors influenced the market last week

Stocks declined during the four-day trading week ended September 8th. The Russell 1000 declined 1.30% and the Russell 2000 declined 3.08%. Factor spreads were more pronounced in the large cap index. Size was the dominant influence among factors.

The largest stocks in the index prevailed against the smallest stocks during the market’s decline. Within the Russell 1000 the top decile of companies ranked by capitalization outperformed the smallest companies by 4.20%. This spread was two-standard deviations above average. Size was also a contributing factor in the Russell 2000 where the largest companies beat the smallest companies by 2.10%. This equated to a one standard deviation move.

Volatility was negative last week. Stocks with the least Volatility outperformed those with the highest Volatility by 3.08% in the large cap space and by 1.43% among small caps.

Both measures of Momentum were positive. Stocks that outperformed last week had previously outperformed over the past six months as well as the past month.

Value was the lone factor with diverging spreads between the indices. More attractively valued stocks outperformed by 0.40% in the Russell 1000 and underperformed by 0.65% in the Russell 2000.

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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