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Weekly Factor Returns

A look at what factors influenced the market last week


Equity indices were mixed last week. Large cap stocks, represented by the Russell 1000, declined 0.58%. The Russell 2000 small cap index rose 0.55%. Factor returns were within normal ranges.


Volatility was the lone factor where the absolute spread was greater than 1.0% in each index. In the large cap universe, the highest Volatility stocks outperformed those with the least Volatility by 2.28%. The spread was 1.09% in the small cap universe.


Smaller companies prevailed, on average, relative to the largest capitalized stocks. The largest 10% of companies by Size underperformed the smallest 10% by 1.30% in the Russell 1000. The Size spread was -0.88% in the Russell 2000.


Medium-term momentum (MTM) was more influential in the large cap space where the spread was +1.04%. MTM was +0.31% among small caps.


Short-term momentum (STM) had divergent returns between the two indices.


Value was negative within the large cap space and flat within 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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