Weekly Factor Returns

A look at what factors influenced the market last week

The large and small cap indices had mixed returns. The large cap Russell 1000 gained 0.64% while the small cap Russell 2000 declined 1.06%. Factor returns were directionally similar for large and small caps.

Value produced the largest return among small cap stocks, followed by Short-term momentum. The same two factors were the best performers in the large cap space, but in the opposite order. Volatility was the lone factor with negative returns which means less-volatile stocks tended to outperform those with higher volatility. The largest stocks in the Russell 1000 outperformed smaller companies, on average, by 1.86%. Size was less meaningful in the Russell 2000.

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.