Weekly Factor Returns

A look at what factors influenced the market last week

Equities finished lower last week. The negative moves were led by small caps which declined 2.02%. It was the second straight week of declines for large cap stocks and broke a two week streak of gains in the small cap index.

Volatility had the biggest moves among the five key factors. The highest Volatility stocks underperformed the least volatile by 3.76% in the small cap universe and by 2.88% among large caps. The small cap Volatility spread was greater than one standard deviation below average.

Value was a positive influence last week. Both spreads were at or near +2.00%. Stocks ranked in the top decile of our valuation model outperformed those in the lowest ranked decile, on average.

Size was positive. The largest capitalized companies outperformed the smallest last week. The Size spread was +1.96% in the Russell 1000.

Short-term momentum (STM) was positive. The stocks that had outperformed the most during the four weeks prior to last week continued their outperformance relative to the stocks that underperformed the most during the prior four weeks.

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.