Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were positive for the third consecutive week and led by small caps for the second straight week. The Russell 2000 rose 3.32%, largely due to Friday’s rally. Mid caps rose just over 2.0% and the large cap Russell 1000 increased only 0.41%.

Market returns were driven by Medium- and Short-term momentum reversals, smaller companies, and attractively valued stocks. Volatility was less influential.

Both measures of Momentum experienced negative returns. Stocks that had outperformed the most over the previous six months and four weeks tended to underperform last week.

Smaller companies were favored last week. The largest companies underperformed the smallest by 2.48%, on average, in the large cap index, where Size has a larger influence on the index relative to the mid and small cap universes. The large cap Size spread was greater than one standard deviation below average.

Value was strong in the large and mid cap indices. The most attractively valued stocks outperformed the least attractive by 2.62% and 2.39% in the Russell 1000 and Russell MidCap, respectively. Both spreads were greater than one standard deviation above average. Value was less impactful in the Russell 2000.

Volatility was mixed and not a meaningful driver of returns in any of the indices.

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.