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Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap index returns were positive last week. The Russell 1000 gained 2.20%, just ahead of the Russell 2000's 2.15% gain. Factor returns were largely positive in each index.

Momentum returns were stronger among small caps, where Short-term momentum experienced the greatest move (+3.32%). Volatility was also positive in both indices.

Value had divergent trends. Large cap Value declined over 1%, while it gained 1.25% in the Russell 2000. Returns to Size also differed among the capitalization ranges. Larger companies in the Russell 2000 outperformed the smallest, on average. There was not a meaningful difference in returns between the largest and smallest companies in the Russell 1000.

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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