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Weekly Factor Returns

A look at what factors influenced the market last week

The small cap Russell 2000 declined 5.11% compared to the larger Russell 1000's 1.26% decline. Factor returns were directionally similar for each index.

Volatility produced the most significant returns in each index, declining by 6.36% among the large caps and 7.79% within the small cap universe. Since this measures the return differential between the highest and lowest volatility groups, low volatility stocks fared better last week.

Value rose 2.83% in the Russell 1000 and 3.34% in the Russell 2000. The largest companies in the Russell 1000 outperformed, on average, compared to smaller sized companies. Size was not a material driver of returns in the Russell 2000.

Short-term momentum was positive in each index, while Medium-term momentum was negative.

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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