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Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 1000 declined by 0.1% and the Russell 2000 declined by 1.21% for the week ended May 24th.


Momentum factors generated the largest spreads.


Medium-term momentum (MTM) in the large cap universe was +3.21%. The stocks that had outperformed the most over the prior six months continued to outperform last week. The large cap MTM spread was greater than one standard deviation above its average.


Short-term momentum (STM) was positive last week. The STM spread was +1.80% in the large cap space and +2.51% among small caps. The small cap STM spread was greater than one standard deviation above its average.


Value & Volatility were both negative in the Russell 1000. The two factors are typically inversely correlated but were directionally similar last week.


Size was positive in each universe. The Size spread was twice as large in the small cap universe, although Size has less of an impact on the overall small cap index as is it does in the Russell 1000.



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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