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Weekly Factor Returns

A look at what factors influenced the market last week

Small cap equities led the indices lower last week. The Russell 1000 declined 1.60% and the Russell 2000 declined 2.91%.

Factor returns were within normal ranges. Several factors had differing spreads between the two indices.

Volatility within the small cap universe had the greatest spread, with lower Volatility stocks in favor. Stocks in the top decile ranked on Volatility underperformed the bottom decile by 1.49% on average. Volatility was positive in the large cap universe.

Capitalization in the Russell 2000 was up 1.39%. It was the only other spread to cross the 1.0% absolute return threshold. Size had a negligible return in the Russell 1000 index.

Short-term momentum (STM) was positive in each index. Stocks that outperformed the most during the previous four weeks continued to outperform last week.

Medium-term momentum (MTM) and Value were both mixed between the Russell 1000 and 2000. The factors were positive in the small cap index and negative among large caps.

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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