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Weekly Factor Returns

A look at what factors influenced the market last week

Equity indices were positive for the final week of November. The Russell 1000 gained 1.10% and the Russell 2000 gained 3.12%. It was the third straight week of positive returns for the two indices. Three of the five factors in the large cap universe experienced a return greater than one standard deviation.

Volatility drove markets higher last week. The highest Volatility stocks outperformed the least volatile by 5.73% in the large cap space and by 4.13% among small caps. Both spreads were more than one standard deviation from their averages.

Size was another influential factor in the large cap index. Smaller companies outperformed larger issues. The -3.97% return to Size within the Russell 1000 index was close to two standard deviations below average. Size was less influential in the small cap index.

Medium-term momentum (MTM) reversed last week. Stocks that had previously outperformed the most over the six months prior to last week underperformed relative to those stock that had performed the worst over the prior six-month period.

Value was not a significant driver of index returns and was slightly negative in each index.

Short-term momentum (STM) was mixed between the indices and not an influence on index returns.

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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