Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 gained 2.87% and the Russell 2000 gained 4.33% after declines in the week prior.

Factor returns were directionally similar within the large and small cap indices. The magnitude of returns was greater in the Russell 2000 for all but one factor. Volatility was the most positive factor in the large cap index and overall. Higher Volatility stocks beat lower Volatility by 2.36% in the Russell 1000 and by 1.61% in the Russell 2000.

Within the small cap Russell 2000, the largest companies outperformed the smallest by 0.70%, on average. In the Russell 1000, Size was not meaningful. The difference between the largest and smallest companies was essentially zero. Medium-term momentum returned 1.59% among small cap stocks and 0.36% in the large cap space. Short-term momentum and Value declined within each index.

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.