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A look at what factors influenced the market last week
Domestic equities declined during the week ended April 5th. Small cap stocks dropped further than large caps. The Russell 2000 declined 2.86% while the Russell 1000 declined 0.97%.
Four of our five factors were directionally similar across the capitalization range with spreads of at least 1.0%.
Volatility was lower during the week. The stocks ranked highest on Volatility underperformed the lowest ranked by 2.98% in the small cap universe and by 2.04% in the large cap universe.
Size was a leading factor in the Russell 1000. The largest decile based on capitalization outperformed the smallest capitalized decile by 2.90%, on average. The large cap Size spread was greater than one standard deviation above the weekly average.
Both measures of Momentum were positive and greater in the Russell 2000. Stocks that had outperformed the most over the prior four weeks and six months continued to outperform last week, relative to the biggest laggards over the same periods.
Value was the lone factor with divergent returns. Value was a positive contributor in the small cap universe but was a small detractor in the large cap universe.
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.