Weekly Factor Returns

A look at what factors influenced the market last week

Equities were mildly positive last week. The Russell MidCap led the way with a 0.78% return. The small cap Russell 2000 returned only 0.24%.

Factor returns were directionally similar across each universe. Every factor had at least one spread that exceeded normal expectations.

Value was not favored last week. Stocks with the least attractive valuations outperformed those with the most attractive valuations, on average. The negative Value spread was greatest in the small cap space (-5.67%). The large cap Value spread was -4.18%. Each value spread was greater than two standard deviations below its average.

Volatility was positive. Stocks with the most price Volatility tended to outperform those with the least Volatility. The Volatility spread was greatest in the Russell 2000 (+5.84%). The small cap Volatility spread was greater than one standard deviation above average. The large and mid cap spreads were just below one standard deviation.

Both measures of momentum were positive. Medium-term momentum (MTM) was up 2.92%, 3.45%, and 3.80% in the large, mid, and small cap indices. Each spread was greater than one standard deviation above average. Short-term momentum (STM) was positive as well. Top performing stocks over the past four weeks also outperformed last week. STM spreads were greater than one standard deviation in the large and mid cap universes.

The largest ten percent of stocks outperformed the smallest ten percent, on average, within each index. Size was most prominent in the Russell MidCap where the 2.40% spread was just 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.