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Weekly Factor Returns

A look at what factors influenced the market last week

The major Russell indices were positive during the shortened trading week. Small cap stocks led over large caps, with the Russell 2000 gaining 2.60% and the Russell 1000 up 0.50%.

Factor returns were mostly in agreement across the capitalization spectrum, with Value being the lone factor with mixed spreads. Large Size was the most significant influence. Despite the lower index return among large caps, factor spreads were greater in the Russell 1000 versus the Russell 2000.

Both measures of Momentum were negative. This indicates a reversal in last week’s winners relative to the previous four weeks and previous six months.

Smaller companies were in demand compared to larger companies. The largest companies in the Russell 1000 underperformed the smallest, on average, by 2.86%. The negative Size spread in the large cap universe was more than one standard deviation below the weekly average.

Stocks ranked highest on Volatility outperformed those with the least Volatility by over 1.00% in each index.

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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