Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were negative during the first week of March. The Russell 1000 declined 3.22% while the Russell 2000 declined 4.01%. This was the third consecutive week of negative returns for each index.

There was an extreme Momentum reversal last week. Stocks exhibiting the most MTM within the large cap universe at the start of the week underperformed by 8.60%, on average, relative to the ten percent of stocks with the least MTM to begin the week. MTM was -7.67% in the small cap universe. Both negative MTM spreads were approximately three standard deviations below their averages.

Volatility was negative as investors sought more stable securities during the broader market decline. Stocks with the most Volatility underperformed those with the least Volatility by 3.75% in the Russell 1000 and by 4.13% in the small cap universe. Both spreads were greater than one standard deviation below their averages.

Attractively valued stocks were in favor relative to the least attractively valued. The highest ranked Value stocks outperformed the lowest ranked by 2.50% in the large cap universe and by 1.54% in the small cap space. The large cap Value spreads was over one standard deviation above average.

Size was a detracting factor as smaller companies tended to outperform in each index. The large cap Size spread was -1.96%. Small cap Size was -0.73%.

Short-term momentum (STM) was mixed between the two indices.

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.