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Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week. The Russell 1000 rose 1.49% while the Russell 2000 rose 2.44%. Value was the single factor with spreads outside normal expected ranges.

Value was not in favor last week. The factor had negative spreads in both indices. The highest-ranking stocks based on our Value factor underperformed those ranked the worst by 2.37% in the large cap universe and by 2.96% in the small cap universe. Both negative spreads were greater than one standard deviation below their weekly averages.

Volatility was another influential factor. Stocks with the highest Volatility ranks outperformed those with the least Volatility, on average.

Medium-term momentum (MTM) was the only other factor with directionally similar returns between the two broad indices. Stocks that had outperformed the most during the six months prior to last week continued to outperform last week.

Short-term momentum (STM) was negligible in the large cap index while there was a STM reversal in the small cap index.

Size was mixed between the two indices with larger capitalized stocks slightly underperforming in the Russell 1000 and slightly outperforming in the Russell 2000.

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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