Weekly Factor Returns
- Brian
- 2 days ago
- 3 min read
A look at what factors influenced the market last week
Equities were positive for the second consecutive week. The small cap Russell 2000 led with a 3.12% gain. Mid caps returned 1.43% and the Russell 1000 rose 1.02%.
Factor returns were directionally similar between the large and mid cap universes. Two small cap spreads were dissimilar compared to their larger peers. Capitalization (Size) had the strongest returns relative to its own history.
Medium-term momentum (MTM) experienced a reversal last week. Stocks that had outperformed the most over the previous six months underperformed last week. MTM was most negative in the Russell 1000 (-2.29%). Short-term momentum (STM) also reversed within the large and mid cap spaces, but was positive in the Russell 2000. The biggest winners in the large and mid cap indices over the previous four weeks tended to underperform last week.
Larger companies were not influential. The smallest ten percent of companies outperformed the largest ten percent of companies, on average, across the capitalization spectrum. Each negative Size spread was greater than one standard deviation below its weekly average.
Value was positive. The most attractively valued stocks outperformed the least attractively valued, on average, within each index. Value spreads were greatest in the large and small universes.
Higher Volatility stocks outperformed lower Volatility stocks in the large and mid cap indices where both spreads were over +3.0%. The mid cap Volatility spread was one standard deviation above average. Volatility was negligible in the Russell 2000.
In the large and mid cap indices, top performing stocks last week tended to be smaller, exhibit higher Value, have higher Volatility, and had underperformed in the most recent six months and four weeks.

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.
The Russell 1000 Index is a U.S. stock market index that tracks the highest-ranking 1,000 stocks in the Russell 3000 Index, which represent about 93% of the total market capitalization of that index.
The Russell Midcap Index is a stock market index that measures performance of the 800 smallest companies in the Russell 1000 Index.
The Russell 2500 Index measures the performance of the 2,500 smallest companies in the Russell 3000 Index, with a weighted average market capitalization of approximately $4.3 billion, median capitalization of $1.2 billion and market capitalization of the largest company of $18.7 billion.
The Russell 2000 Index is a small-cap U.S. stock market index that makes up the smallest 2,000 stocks in the Russell Index. It was started by the Frank Russell Company in 1984. The index is maintained by FTSE Russell, a subsidiary of the London Stock Exchange Group.
Index performance is presented as a benchmark for reference only and does not imply any portfolio will achieve similar returns, volatility or any characteristics similar to any actual portfolio. The composition of a benchmark index may not reflect the manner in which any is constructed in relation to expected or achieved returns, investment holdings, sectors, correlations, concentrations or tracking error targets, all of which are subject to change over time. You cannot invest directly in an index. Index performance does not reflect the deduction of any investment management fees, transaction costs, or expenses, and the performance of any investment product may differ from the index.
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