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Weekly Factor Returns

A look at what factors influenced the market last week

The large cap Russell 1000 rose 1.82% while the small cap Russell 2000 finished unchanged from the previous week. Factor returns were directionally similar between the indices. Several factors experienced spreads outside normal ranges.

Medium-term momentum (MTM) was the biggest mover in each index. Stocks that had the greatest performance over the prior six months continued to outperform last week. Both MTM spreads were greater than one standard deviation.

Size played an influential role in the market. The largest capitalized companies in each index outperformed the smallest, on average. Both spreads were greater than 2.0% as well one standard deviation above average.

Volatility declined last week. Stocks with the greatest price Volatility underperformed those with the highest Volatility ranks. The small cap Volatility spread was greater than one standard deviation below average.

Value was positive in each index, although it was less of a driving force in the Russell 1000 compared to the Russell 2000.

Short-term momentum (STM) declined with each spread at or near -2.0%.

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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