Weekly Factor Returns

A look at what factors influenced the market last week

Domestic equites were lower last week. The small cap Russell 2000 led the decline with a 4.16% decline. Mid caps lost 3.03% and the large cap Russell 1000 declined 2.41%.

Factor spreads were strong within each capitalization range.

Medium-term momentum (MTM) was strong across each index. Stocks that outperformed the most over the previous six months continued to outperform last week. MTM was highest in the Russell 2000 (+5.03%). Each MTM spread was greater than one standard deviation above average.

Short-term momentum (STM) experienced a reversal. STM was most negative in the Russell MidCap where the -2.61% return was one standard deviation below average.

Size was positive. The largest stocks outperformed the smallest, on average. The Size spread was +5.04% in the Russell 2000, +3.38% in the Russell MidCap, and +2.87% in the Russell 1000. The large and mid cap spreads were greater than one standard deviation and the small cap spread was greater than two standard deviations above average.

Volatility was negative as investors sought less volatile stocks during the market decline. The negative Volatility spread was greatest in the small cap index. Volatility was -5.50% in the Russell 2000. The small cap Volatility spread was greater than one standard deviation below average.

Value was mixed. The most attractively valued stocks outperformed the least attractively valued in the small cap universe. Value was out of favor in the large and mid cap universes. The negative Value spreads were each greater than one standard deviation below their averages.

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.

Index performance is for illustrative purposes only. The performance of which is often used as a benchmark in judging the relative performance of certain investments. Index performance does not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.