Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were positive last week. The small cap Russell 2000 gained 1.83% while the large cap Russell 1000 rose 5.58%. Several factor returns exceeded normal ranges.

Volatility was positive. The stocks with the highest Volatility outperformed those with the least Volatility by 4.03% and 3.62% in the large and small cap universes, respectively. Each spread was greater than one standard deviation above average.

Value was negative last week. Stocks with the most attractive valuations underperformed those with the least attractive valuations. The Value spread was -2.39% in the large cap universe and -3.62% among small caps. Both were greater than one standard deviation below average.

Size was a contributing factor to market returns, particularly in the Russell 1000 where it has a greater influence compared to the Russell 2000. The largest ten percent of stocks in the large cap index outperformed the smallest ten percent by 4.23%, on average. The large cap Size spread was two standard deviations above average.

Medium-term momentum (MTM) was strong last week. Stocks that had outperformed the most over the previous six months continued to outperform last week, relative to those stocks that had underperformed the most during the previous six months. The MTM spread in each index was also greater than one standard deviation above average.

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.