Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 & 2000 indices each rose just under 1.00% last week. Factor returns were largely positive as well.
Medium-term momentum among large caps had the biggest overall move (+3.43%). The stocks that outperformed in the large cap index tended to be higher momentum (medium- and short-term), larger, tilted towards growth, and more volatile.
The story was only slightly different in the Russell 2000 where the Size and Value factors had different return profiles. Small cap outperformers ranked higher on both momentum factors, Value and Volatility, while ranking lower on Size.
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.