A look at what factors influenced the market last week
Equities were positive last week with the Russell 2000 leading the way. The small cap index gained 6.01% while the large cap Russell 1000 rose 1.04%.
Factor returns were extreme with nine of the ten spreads extending beyond one standard deviation. Value was the lone factor with mixed results. Most factors saw decile one minus decile ten spreads around +/- 3%.
Size in the large cap universe experienced the most significant move. The largest 10% of stocks in the Russell 1000 underperformed the smallest 10% by 5.02%. This equated to over two standard deviations below the average weekly return. The negative Size spread in the Russell 2000 was just below a two standard deviation move.
Volatility was positive. The most Volatile stocks outperformed the least Volatile by over 3% in each universe.
Both measures of Momentum were negative. The stocks that outperformed last week were the biggest losers over the previous six and four weeks.
Value had divergent spreads between the indices. Stocks with the weakest Value characteristics tended to outperform in the small cap universe. Value was slightly positive 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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