Weekly Factor Returns

A look at what factors influenced the market last week

Equites were positive for the second straight week. Large caps led the way with a 1.53% gain. Mid and small caps rose 0.4% and 0.3%, respectively.

Four of the five key factors produced strong returns in at least one universe. Short-term momentum (STM) was the only factor where all three spreads were within normal ranges.

Medium-term momentum (MTM) was influential. The stocks that outperformed the most over the past six months continued to outperform last week. MTM spreads ranged from +2.95% (mid caps) to +4.54% (small caps). All three returns were greater than one standard deviation above their averages.      

Size was a major contributor to returns in the Russell 1000 and Russell MidCap indices. The largest ten percent of stocks outperformed the smallest ten percent by 3.94% in the large cap index and by 4.08% among mid caps. Both spreads were greater than one standard deviation above average. Size was less influential in the Russell 2000.

Value was negative. Stocks with the most attractive valuations underperformed those with the least attractive valuations. All three negative spreads were greater than one standard deviation below their averages.

Volatility was a big influence in the small cap universe. The most volatile stocks outperformed the least volatile by 4.72% in the Russell 2000. The small cap Volatility spread was 1.5 standard deviations greater than the weekly average. Volatility was less meaningful among large and mid cap stocks.   

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.