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Weekly Factor Returns

A look at what factors influenced the market last week


Equities declined in the week ended September 22nd. The Russell 1000 fell 2.98% while the Russell 2000 fell 3.81%. Volatility was the leading factor in terms of market influence.


Volatility spreads in each index were both greater than one standard deviation below their averages. The negative Volatility spread means stocks with the least price Volatility outperformed those with the most price Volatility. Among large caps, the difference between the average return of stocks in the top decile (most Volatile) and the average return of stocks in the bottom decile (most Volatile) was -4.63%. In the small cap universe, the difference was -5.19%.


Value was the second most influential factor. Value had a greater impact on returns in the small cap index relative to the large cap index. Within our small cap universe, stocks with more attractive valuations outperformed the least attractively valued by 3.90%. This was also more than one standard deviation above the weekly average. Among large caps, the Value spread was 1.87%.


Short-term momentum (STM) was the only other factor with an absolute spread of at least 1.0% in each capitalization range. Stocks that outperformed the most over the previous four weeks continued to outperform last week.


Size was influential in the large cap universe. Investors sought out larger companies during the market decline.


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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