Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were flat-to-down last week. The small cap Russell 2000 declined the most (-1.79%). The Russell MidCap lost 0.83%. The large cap Russell 1000 was essentially flat (+.01%).

Large and mid cap factor returns were all within normal ranges. Several small cap factor spreads exceeded normal expectations.

Lower Volatility stocks were favored. The most volatile stocks underperformed the least volatile by 5.46% in the small cap universe. This was greater than one standard deviation below average. Volatility declined more than 2.5% in the Russell 1000 and MidCap indices.

Value was a positive influence, particularly among small caps. The most attractively valued securities outperformed the least attractively valued by 4.13% in the Russell 2000. The small cap Value spread was greater than one standard deviation above average. Value was positive in the larger capitalized indices, but to a lesser degree.

Short-term momentum (STM) spiked in the Russell 2000. Stocks that outperformed the most during the preceding four weeks continued to outperform last week. The small cap STM spread was 4.38%, which was greater than one standard deviation above average. STM was positive in the Russell 1000 and MidCap indices as well.

Medium-term momentum (MTM) reversed last week across each index. Stocks that had outperformed the most over the previous six months underperformed last week.

Size was the lone factor with mixed results across the capitalization ranges. The largest stocks tended to outperform the smallest stocks in the Russell 1000. Smaller stocks outperformed, on average, within the mid 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.

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.