Weekly Factor Returns

A look at what influenced the market last week


Both the large cap Russell 1000 and small cap Russell 2000 ended the short week with positive returns. The Russell 2000 edged out the Russell 1000 (+1.50% to +1.26%). Our broad factors had similar directional returns within each capitalization universe. Volatility in the small cap index experienced the largest return at 2.64%, with large cap volatility coming in at 1.96%. Short-term momentum declined by 3.20% among large caps and experienced a 2.75% decline among small caps. Smaller companies outperformed larger in each index, while Value was negative.



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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