Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 2000 led equity markets last week. The small cap index gained 2.41%. The large cap Russell 1000 rose 1.69% and the Russell MidCap gained 1.40%.

All factor returns were within normal ranges. Small cap spreads differed from large and mid in four of the five factors.

Medium-term momentum (MTM) was the lone factor with similar returns across all three indices in both direction and magnitude. Stocks that had outperformed the most over the past six months continued to outperform last week. MTM spreads were linear across the capitalization spectrum.

Short-term momentum (STM) was mixed. Stocks that had outperformed the most in the previous four weeks reversed in the Russell 1000 and Russell MidCap. STM was mildly positive in the Russell 2000.

Size also experienced divergent returns. The largest ten percent of stocks in the small cap index outperformed the smallest ten percent, on average, by 1.36%. The opposite was true in the mid cap universe where smaller companies tended to outperform. Size was negligible in the large cap index.

Value was in favor in the larger indices. Value spreads exceeded 1.50% in both the Russell 1000 and Russell MidCap. Value was slightly  negative in the small cap space.

Volatility had a similar return profile to Value. Large and mid caps had strong returns while small cap was barely positive.

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.