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Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets declined in the first four trading days of 2024. The large cap Russell 1000 lost 1.62% and the small cap Russell 2000 lost 3.73%. Factor returns were directionally similar. Three of the five large cap factors had spreads greater than one standard deviation.

Value had the largest positive move in each index. The most attractively valued companies outperformed the least attractively valued by 3.40% in the large cap universe and by 3.51% among small caps. The large cap spread equaled a 1.7 standard deviation move. The small cap spread was 1.5 standard deviations above average.

Volatility was negative. Stocks with the highest Volatility ranking underperformed the least volatile stocks. The Volatility spread was -3.87% in the Russell 1000 (> 1 Std. Dev. below average) and -2.52% in the Russell 2000.

Short-term momentum (STM) was a significant driver in the large cap index. Recent winners reversed last week and underperformed recent losers. The STM spread was -3.76% in the Russell 1000 and -1.84% in the Russell 2000. The large cap STM spread was greater than one standard deviation below average.

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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