Weekly Factor Returns

A look at what factors influenced the market last week

Domestic equities were lower last week, led by the small cap Russell 2000’s 1.45% decline. The Russell MidCap dropped 1.19% and the large cap Russell 1000 had the smallest decline (-0.49%).

All factor spreads were within normal ranges.

Volatility was negative, which was a reversal from last week. Stocks with the most price Volatility underperformed the least volatile stocks. The Volatility spread was greatest among small caps (-2.18%).

Short-term momentum (STM) was positive across each index. Stocks that had outperformed the most over the previous four weeks continued to outperform last week.

Medium-term momentum (MTM) was strong in the large and mid cap indices. MTM experienced a small reversal in the Russell 2000.

Value was not a driver of returns within the Russell 2000. The most attractively valued stocks outperformed the least attractive by 0.69% in the Russell 1000 and by 0.74% in the Russell MidCap, on average.

Size also had mixed spreads. Larger companies tended to outperform in the large and small cap indices, but tended to underperform among mid cap stocks.

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.