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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 rose 1.83% and the Russell 2000 rose 6.84%.

Last week’s factor returns were directionally opposite compared to the preceding week. Volatility was a key driver this past week. Within the small cap universe, the most volatile stocks outperformed the least volatile by 7.43%, on average. Volatility returned 6.84% in the large cap space.

The four other main factors had negative returns. Stocks that tended to outperform tended to have less momentum, were smaller, and ranked lower on Value. Returns were greater within the Russell 2000 across each factor.

1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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.



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