Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed last week. Mid cap stocks led with the Rusell MidCap index up 0.60%. The small cap Russell 2000 rose 0.44% while the large cap Russell 1000 declined 0.06%.

Factor returns were directionally similar across the capitalization spectrum. All spreads were within expected ranges.

Medium-term momentum (MTM) experienced strong returns within each index. Stocks that had the best performance over the previous six months continued to outperform last week. Each MTM spread was over +2.0%. Short-term momentum (STM) was also positive, but to a lesser degree compared to MTM.

Stocks with higher Volatility were favored relative to stocks with lower Volatility. Volatility was most influential in the Russell 2000 index where the spread was +2.61%.

The largest capitalized stocks outperformed the smallest capitalized stocks, on average. The Size spread was largest in the Russell MidCap index (+2.16%). The mid cap Size spread was the largest relative to its own history among each factor in each index. It was still within one standard deviation from average.

Value was not a driver of returns. Stocks with the most attractive valuations underperformed those with the least attractive valuations, on average, in each 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.