Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive for the second consecutive week. The Russell 2000 led, again, with a 2.51% return. The Russell MidCap and Russell 1000 were just at, or below, 2.0%.

Two factors had returns that exceeded normal expectations.

Medium-term momentum (MTM) was strong in the large and mid cap indices. The MTM spread in the Russell MidCap was over 4.0%, while the large cap MTM spread was 3.23%. Both returns were greater than one standard deviation above their average. MTM in the small cap space experienced a small negative return.

Short-term momentum (STM) reversed within each index. STM had the largest decline in the Russell 2000, where the spread was -2.08%.

Size was also negative as smaller companies tended to outperform larger companies. The largest ten percent of companies in the Russell 2000 underperformed the smallest ten percent by 2.96%, on average. The small cap Size spread was greater than one standard deviation below average.

Value was mixed and not a significant driver of returns. The most attractively valued companies outperformed the least attractively valued in the small cap universe. Value was slightly negative in the large and mid cap indices.

Volatility was positive last week. The most volatile stocks outperformed the least volatile in each index. Volatility was strongest 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.