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Weekly Factor Returns

A look at what factors influenced the market last week


Equity indices were positive in the holiday-shortened trading week ended November 24th. The Russell 1000 gained 1.05% and the Russell 2000 gained 0.56%. All factor returns were within normal ranges.


Size within the large cap universe was the biggest influence. The largest companies within the Russell 1000 outperformed the smallest by 1.27%, on average. Larger companies underperformed smaller stocks by a small margin in the Russell 2000.


Short-term momentum (STM) was positive in each index. Stocks that had outperformed the most during the prior six months continued to outperform last week.


Volatility was negative and Value was not influential.



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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