Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets rose during the holiday-shortened week. The large cap Russell 1000 led with a 1.37% gain. The small cap Russell 2000 (+0.21%) had the smallest gain.

Factor returns were mixed between the indices. All spreads were within normal ranges.

Medium-term momentum (MTM), within the small cap universe, experienced the largest move in terms of absolute return. The small cap MTM spread was +1.26%. MTM was positive in the Russell 1000 and negative among mid cap stocks.

Short-term momentum (STM) reversed among small caps. Stocks that outperformed the most in the previous four weeks underperformed last week in the Russell 2000. STM was positive in both the Russell  MidCap and Russell 1000 indices.

The Size factor had the largest spread difference between two capitalization ranges. The large cap Size spread was +0.70%, where the largest stocks outperformed the smallest. The small cap Size spread was -0.90%, where the largest companies tended to underperform. Size was positive among mid cap stocks.

Value was not a driving factor among large and mid cap stocks. Value was a positive influence in the small cap space.

Volatility was higher in the Russell 2000 where the most volatile stocks outperformed the least volatile by 0.75%. Volatility was slightly lower in the Russell 1000 and marginally positive in the Russell MidCap index.

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.