Weekly Factor Returns

A look at what factors influenced the market last week

Major equity indices were mixed last week. The large cap Rusell 1000 generated a small gain (+0.10%) while the Russell MidCap (-0.34%) and Russell 2000 (-0.83%) each declined.

All factor returns were within normal ranges.

Medium-term momentum (MTM) was positive across the capitalization spectrum. Stocks that had outperformed the most over the past six months continued to outperform last week. MTM was strongest in the large and mid cap universes.

Short-term momentum (STM) had diverging returns. Stocks that outperformed the most over the past four weeks continued to outperform in the small cap index. STM reversed in the large and mid cap indices.

Size was positive within each index. The largest ten percent of companies outperformed the smallest ten percent, on average. The Size spread was greatest among small caps (+1.82%).

Value had mixed results between small cap stocks and mid and large cap stocks. Value was favored in the Russell 2000 where the most attractively valued stocks outperformed the least attractively valued by 1.26%. Value was not a determining factor among large and mid cap stocks.

Volatility was negative, particularly among small caps. The most volatile stocks underperformed the least volatile by 2.45%, on average. The small cap Volatility spread was the largest by absolute value.

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.