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Weekly Factor Returns

Updated: Jul 19, 2021

A look at what factors influenced the market last week

Index returns were mixed. The large cap Russell 1000 gained 1.46% and the small cap Russell 2000 declined 1.18%. Momentum – both medium- and short-term – produced varied results. Among the large caps, Medium-term momentum rose slightly, and Short-term momentum declined. The opposite occurred in the small cap space.

Large companies outperformed smaller, on average, in both universes. Volatility declined 2.87% within the large caps, the biggest move among these broad factors. Value stocks tended to outperform, with a larger increase within small caps.

1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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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