Weekly Factor Returns

A look at what factors influenced the market last week

* Now includes the Russell MidCap

All three broad indices were positive last week. The large cap Russell 1000 led with a 1.87% gain. That was followed by the Russell MidCap, which gained 1.43% and the small cap Russell 2000 which gained 1.32%.

Factor returns were within expected ranges across the capitalization spectrum. Short-term momentum was the lone factor with directionally similar spreads within each index.

Volatility was positive in the large and mid cap indices. Each spread was close to, or just above, 1.0%. Volatility was slightly negative in the small cap universe.

Value was positive within the mid and small cap indices. The most attractively valued securities underperformed, on average, relative to the least attractively valued in the large cap universe. Value was not a meaningful driver of returns last week in any index.

Size had the largest difference between spreads. The largest stocks outperformed the smallest stocks in the Russell 1000 and Russell MidCap. The Size spread was -1.34% in the Russell 2000. Smaller companies tended to fare better in the small cap index.

Short-term momentum (STM) was positive across all three indices. STM experienced the largest spread in the Russell 2000 (+0.85%). Medium-term momentum (MTM) was mixed and not a meaningful driver of returns.

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.