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Weekly Factor Returns

A look at what factors influenced the market last week


Equity markets were mixed again last week. The large cap Russell 1000 declined 0.67% while the small cap Russell 2000 gained 3.47%.


Smaller companies with less Momentum were the dominant drivers. Each factor declined for the third consecutive week. Value was an influential factor in the Russell 1000.


The Medium-term Momentum (MTM) reversal continued with a -2.40% return in the large cap universe and a -1.87% return among large caps. The stocks that had outperformed the most over the preceding six months underperformed last week.


Size was negative. The largest companies in each index underperformed the smallest, on average, by 3.42% in the Russell 1000 and by -2.37% in the Russell 2000. The negative spread in each universe was greater than one standard deviation below their averages.


Value was positive, particularly in the Russell 1000. The most attractively valued stocks outperformed the least attractively valued by 2.47% in the large cap universe. The large cap Value spread was 1.5 standard deviations above average. The small cap Value spread was +0.55%.


Short-term Momentum (STM) was negligible.


The small cap Volatility spread was +0.85% while it was essentially flat in the large cap space.



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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