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Weekly Factor Returns

Writer's picture: BrianBrian

A look at what factors influenced the market last week


Small cap stocks led the decline in equities last week. The Russell 2000 lost 6.66% while the Russell 1000 lost 2.25%.


Factor spreads were large relative to history. Each of the five key factors exceeded one standard deviation in the small cap universe. Three factor spreads were greater than one standard deviation in the large cap universe.


Volatility was the biggest influence last week. Volatility declined as investors flocked to less volatile securities. Volatility declined by 6.73% in the Russell 1000 and by 8.57% in the Russell 2000. Both spreads were greater than two standard deviations below average.


Size was positive in each index. The largest decile of companies outperformed the smallest decile by 3.93% in the Russell 1000 and by 2.17% in the Russell 2000.


Value spreads were divergent between the large and small cap indices. The Value spread was -1.68% in the Russell 1000 (a one standard deviation move) and was +5.25% in the Russell 2000. The small cap Value spread was greater than two standard deviations above average.


Medium-term momentum (MTM) was positive and Short-term momentum (STM) was mixed.



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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