Weekly Factor Returns

A look at what factors influenced the market last week

Equities had positive returns last week after four weeks of declines. The large cap Russell 1000 rose 0.56% while the small cap Russell 2000 rose 1.21%.

All factor spreads were within normal ranges. Value and Volatility showed their usual inverse relationship.

Volatility was positive as investors favored stocks with higher price Volatility relative to those with lower Volatility. Each spread was above 1.0%.

Value was negative. Stocks with the most attractive valuations underperformed those with the least attractive valuations, on average. The Value spread in each universe was close to -1.0%.

Size had divergent returns between the two indices. In the Russell 1000, larger companies tended to outperform their smaller peers. Size was negative among small cap stocks.

Medium-term momentum (MTM) also had opposing returns. In the large cap universe, MTM was positive. Stocks that had outperformed the most over the prior six months continued to outperform last week. The small cap universe experienced a minor MTM reversal.

Short-term momentum (STM) was negative as the best performers over the preceding four weeks tended to underperform last week. The large cap STM spread was -1.38%.

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.