Weekly Factor Returns

A look at what factors influenced the market last week


Index returns were negative last week. The large cap Russell 1000 lost 1.8% and the small cap Russell 2000 declined 4.2%. Medium-term momentum declined within each capitalization range, along with Value in the large cap space. Volatility, which experienced large moves in the previous weeks, was less impactful. The greatest divergence occurred within Value. The factor declined 3.0% among large caps and gained 0.3% among small 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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