Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap equities had divergent returns last week. The large cap Russell 1000 declined by 0.32% while the small cap Russell 2000 produced a small gain of 0.14%.

Several factor returns had dissimilar moves. Only one spread exceeded normal expectations. Value and Volatility broke trend as both were positive.

Value had the strongest returns in each index. The most attractively valued stocks outperformed the least attractively valued by 2.78% in the Russell 2000 and by 1.99% in the large cap universe. The small cap Value spread was greater than one standard deviation above average.

Volatility was also positive. The most volatile stocks outperformed the least volatile by 0.69% in the small cap universe and by 0.79% among large caps. Value and Volatility were directionally similar last week, which is different than their long-term inverse correlation.

Both measures of Momentum were positive in the Russell 2000. Stocks that had outperformed the most over the previous six months and four weeks continued to outperform last week. Medium-term momentum (MTM) was negligible in the Russell 1000 and Short-term momentum (STM) experienced a reversal in the large cap universe.

Size was negative, particularly in the Russell 1000. The largest capitalized stocks underperformed the smallest ten percent of stocks by 1.11% in the large cap index. Size was -0.30% in the small cap index.

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.