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Weekly Factor Returns

A look at what factors influenced the market last week

Small cap stocks led the market gains last week. The Russell 2000 rose 1.75% while the Russell 1000 rose 1.04%. Most factors were within normal ranges. Small cap spreads were greater relative to large cap spreads in four of our five key factors.

Size, within the small cap universe, was the greatest influence. The negative spread means the largest 10% of stocks in the small cap Russell 2000 underperformed the smallest decile, on average. The -3.58% spread was over 1.5 standard deviations below the weekly average.

Volatility was positive. The highest ranked Volatility stocks outperformed the lowest ranked by 2.02% in the small cap universe. The Volatility spread in the large cap universe was 0.5%.

Short-term momentum (STM) experienced a reversal last week. The top performing stocks in the prior four weeks underperformed last week.

Value was mildly positive and the only factor where the spread was larger 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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