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Weekly Factor Returns

A look at what factors influenced the market last week*

* (this post refers to the week ended 7/9/21; I was out last week and did not publish the usual Monday update)

The week ended 7/9/2021 saw the Russell 2000 drop 1.11% and the Russell 1000 gain 0.38%. Volatility was the only factor with negative returns in both indices. Volatility declined 1.90% among the large cap universe - the greatest move among factors that week. Volatility dropped 0.93% among small caps.

Similar to the previous week ended 7/2/2021, Medium-term and Short-term momentum had divergent results among cap ranges for the second straight week, although the directions and magnitudes were different. Medium-term momentum gained 1.02% for the largest factor move within small caps.

Size and Value were positive in both indices. Large Value gained 1.69% for the biggest positive factor return in the Russell 1000.

1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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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