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Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were mixed and factor returns were not extreme. The Russell 2000 gained 0.76% with positive returns to Medium-term momentum and Value. The Russell 1000 declined 0.39%. Medium-term and Short-term momentum were positive. Value had a small positive return (+0.22%) among the large caps.

Volatility declined 1.70% and 1.61% in the large and small indices, respectively. These were the two largest factor moves, an indication that demand for safer stocks was a driving factor last week.

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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