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Weekly Factor Returns

A look at what factors influenced the market last week


Equities were positive last week. The Russell 1000 gained 3.94% and the Russell 2000 gained 2.98%. It was the first time both indices were positive in the last five weeks.


Four of the five key factor returns were mixed between the indices. Volatility was the lone factor with directionally similar returns across the capitalization spectrum.


Volatility was positive in each index. The most volatile stocks helped drive positive market returns. The most volatile stocks outperformed the least volatile by 2.69% in the large cap index and by 1.29% among small caps.


Short-term momentum (STM) experienced the most divergent returns between the large and small cap universes. Stocks that had outperformed the most over the preceding four weeks underperformed in the large cap index by 2.83% relative to those stocks that had previously underperformed. The negative STM spread in the large cap universe was greater than one standard deviation below average. STM was +1.11% in the small cap universe.


Value was mixed too. Stocks with the most attractive Value ranks outperformed those with the least attractive Value ranks. Value was negative in the Russell 1000.


Medium-term momentum (MTM) and Size each had spreads less than +/- 0.5%.



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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