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Weekly Factor Returns

A look at what factors influenced the market last week

Equity indices rose during the week ended November 17th. The small cap Russell 2000 (+5.49%) more than doubled the return of the large cap Russell 1000, which gained 2.45%. Factor returns reflect the shift in expectations regarding interest rates.

Factor spreads were generally more pronounced in the small cap universe. Each factor’s spread was at least one standard deviation from its long-term weekly average. Size was the lone factor where the spread was greater in the large cap space.

Volatility was strongly positive. The highest Volatility stocks outperformed the least volatile by about 5.0% in each index. The strong rise in Volatility suggests a higher preference for riskier assets.

Both measures of Momentum declined in each index. Stocks that had outperformed over the previous six months and four weeks underperformed last week.

Size was negative. Smaller stocks were in favor relative to larger stocks in each index. The largest stocks in the Russell 1000 underperformed the smallest stocks by 4.27%. The negative Size spread in the large cap universe was a 1.9 standard deviation event.

Value was mixed between the capitalization ranges. There was a small positive spread among large caps and a -2.59% spread in 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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