Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 0.57% while the Russell 2000 rose only 0.04%.

Large cap Value was the lone factor spread that exceeded normal expectations.

Within the large cap universe, the most attractively valued stocks outperformed the least attractively valued by 2.71%, on average. The large cap Value spread was greater than one standard deviation above its average. The Value spread in the small cap universe was +0.65%.

Volatility declined in each index. The stocks with the highest Volatility underperformed those with the least Volatility by 0.88% in the Russell 1000 and by 1.10% in the Russell 2000.

Size was negative in each index as smaller companies outperformed larger ones, on average.

Medium-term momentum (MTM) was negative. The companies that outperformed the most over the previous six months continued to outperform last week.

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.