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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 2.31% and the Russell 2000 rose 1.61%. All factor spreads were within normal ranges.

Volatility had divergent spreads between the two indices. The most volatile stocks in the Russell 1000 outperformed the least volatile by 2.42%. In the small cap index, the most volatile stocks underperformed the least volatile by 1.26%.

Short-term momentum (STM) was also mixed. Stocks that had outperformed the most over the previous four weeks continued their outperformance last week. Previous winners over the prior four weeks underperformed last week in the small cap index.

Medium-term momentum (MTM) was positive in each universe. The stocks with the highest MTM over the past six months outperformed those with the least MTM by over 2.00% in each index.

Value was positive. Stocks with the most attractive Value ranks outperformed those with the least attractive Value ranks by 1.01% in the small cap universe.

Size returns were divergent. Large capitalized stocks underperformed in the Russell 1000 while they outperformed 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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