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Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed during the final trading week of 2023. Large cap stocks rose, while small cap stocks declined. The Russell 1000 gained 0.32% and the Russell 2000 fell 0.28%. Factor spreads were within normal ranges and mostly divergent between the two indices.

Medium-term momentum (MTM) declined in both major indices. It is the only factor whose spreads were directionally similar. Short-term momentum (STM) had a negative reversal in the Russell 1000. Short-term winners continued their outperformance in the Russell 2000.

Larger companies were favored in the large cap index where Size returned 0.5%. Larger companies underperformed their smaller counterparts within the small cap Russell 2000.

Value underperformed in the Russell 1000 and had the largest absolute spread among all factors. More attractively valued companies outperformed in the Russell 2000.

Volatility also had mixed results between the two indices. Higher Volatility stocks outperformed among small cap stocks but underperformed 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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