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Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets had a very positive week. The Russell 1000 rose 5.98% and the Russell 2000 rose 7.59%. Small cap factor returns were significant with each spread at least one standard deviation from its average.

Volatility was the biggest mover in each index. The highest Volatility stocks outperformed the least volatile by 5.92% in the small cap universe and by 4.75% among large caps. The small cap Volatility spread was a 1.9 standard deviation move.

Short-term momentum (STM) and Size (Capitalization) both influenced the overall market. There was a sharp STM reversal as well as investors seeking out smaller companies.

Stocks that outperformed the most during the previous four weeks underperformed the week ended November 3rd. The -5.32% STM spread in the Russell 2000 was over two standard deviations below average.

Smaller companies gained relative to large ones in both indices. The largest 10% of companies underperformed the smallest 10% by 2.61% in the Russell 1000 and by 4.68% among small caps. The large cap spread was greater than one standard deviation below average and the small cap spread was over two standard deviations below average.

Medium-term momentum (MTM) and Value were both mixed. In the large cap universe, the highest MTM companies continued to outperform last week with Value slightly in favor. MTM also reversed among small caps with Value being out of favor.

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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