Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week. The small cap Russell 2000 gained 2.19% and the large cap Russell 1000 gained 1.26%. The Russell MidCap was essentially flat (+.04%).

Factor returns were directionally similar across each index. Several factors produced spreads beyond normal expectations.

Medium-term momentum (MTM) was positive. Stocks that had outperformed the most over the preceding six months continued to outperform last week. Each MTM spread was greater than one standard deviation above average. Short-term momentum (STM) was slightly negative in each index.

Value was decisively out of favor last week. Value was most negative in the small cap universe where the -5.62% spread was more than two times greater than the large and mid cap spreads. The large and mid cap spreads were each greater than one standard deviation below average and the small cap spread was over two standard deviations below its average.

Volatility was positive. The spread between the most volatile and least volatile stocks was greater than 3.0% in the large and mid cap indices and over 6.0% among small caps. Each spread was at least one standard deviation above its average.

Size was positive in each index but less influential relative to MTM, STM, and Volatility.

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.