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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 indices had similar returns last week. After two consecutive weeks of congruence, our main factors produced mixed results.

Within the large cap index, Short-term momentum had the greatest move. It returned 0.87%. The remaining large cap factor returns were not as pronounced as those measured in the small cap index.

In the Russell 2000, Size, Value, and Volatility experienced the biggest returns, followed by Medium-term and Short-term momentum. Overall, within the small cap space, stocks that outperformed tended to rank lower on Medium-term momentum, higher on Short-term momentum, higher on market capitalization, lower on valuation, and higher on price volatility.

1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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.



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