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Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week, with small cap stocks outpacing large caps. Factor spreads were more pronounced in the small cap universe compared to their large cap counterparts.

The Russell 1000 gained 1.03% and the Russell 2000 gained 3.00% during the week.

High Volatility, weak Value, smaller Size, and high Short-term momentum (STM) were the key themes.

The highest ranked stocks based on Volatility outperformed the lowest ranked by 3.72% in the small cap universe and by 3.09% in the large cap universe. The small cap spread was greater than one standard deviation above its weekly average.

Growth was favored over Value last week. Stocks with the most attractive Value rankings underperformed those with the least attractive ranks by 1.94% in the Russell 2000 and by 1.73% in the Russell 1000.

Stocks with higher STM influenced the Russell 2000. Stocks that had outperformed the most during the prior four weeks continued to outperform last week.

The smallest capitalized stocks tended to outperform the largest within each index. The negative Size spread was greater among small caps (-2.07%) than for large caps (-0.60%).

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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