Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week. Small caps led with the Russell 2000 gaining 1.78%.

Factor returns were strongest in the small cap index. Several factors experienced spreads outside normal ranges.

Volatility was a driving factor last week. Within the Russell 2000, the most volatile stocks outperformed the least volatile by 5.06%, on average. Volatility spreads were +3.53% and +3.81% in the large and mid cap universes, respectively. All spreads were greater than one standard deviation above their averages.

Value was out of favor, particularly in the small cap index. The most attractively valued stocks underperformed the least attractively valued by 5.35%. The small cap Value spread was greater than two standard deviations below average.

Short-term momentum (STM) was the only other factor with directionally similar returns within each index, as each spread was positive. Stocks that outperformed the most over the past four weeks continued to outperform last week. The STM spread was +4.22% in the small cap index.

Medium-term momentum (MTM) was mixed. MTM was down about one-half-percent in the large and small indices. MTM was +0.78% in the Russell 2000.

Size was also not a major influence on index returns. Size was negative in the Russell 1000, where smaller companies tended to outperform. Size was positive in the small cap index where larger companies tended to outperform.

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.