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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 indices finished slightly higher last week. This makes for four consecutive weeks where both indices were positive. All large cap factor spreads were within normal ranges.

Higher Volatility stocks were in favor. Stocks with the most Volatility outperformed those with the least by 3.38% in the small cap index and by 1.62% among large caps. The small cap Volatility spread was greater than one standard deviation above its average.

Capitalization experienced an outsized move within the Russell 2000. The largest 10% of stocks in the small cap universe underperformed the smallest 10% by 5.60% last week. This spread was greater than 2.5 standard deviations below average. This means in only 2.0% of the 1,249 weeks in our data history there was a Size spread more negative than last week.

Recent winners continued to outperform last week. Short-term Momentum (STM) was just below 2.0% in each index.

Medium-term Momentum (MTM) was negative. Stocks that had outperformed the most over the prior six months underperformed those stocks that had previously performed the worst of the previous six months.

Value was mixed. Returns to Value were divergent between the two indices. Value stocks were not in favor among small caps, while Value had a small positive return in the Russell 1000.

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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