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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 ended three weeks of declines and closed higher last week. The large cap index gained 2.66% and the small cap index gained 2.80%.

Positive Medium-term momentum (MTM), less attractively valued, and higher Volatility were the key themes. Both MTM and Value had spreads greater than one standard above or below their averages.

MTM was up 3.32% in the large cap universe and 2.97% among small caps. Stocks that outperformed the most over the six months prior to last continued their outperformance.

Value spreads were negative and declined more than 2.00% in each index. The most attractively valued stocks underperformed the least attractively valued by 3.34% in the large cap universe and by 2.62% in the small cap space.

Higher Volatility stocks were in favor relative to lower Volatility stocks. The Volatility spread was +2.39% in the Russell 1000 and +1.50% 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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