Weekly Factor Returns

A look at what factors influenced the market last week

Equities moved lower during the final week of 2025. Both the large cap Russell 1000 and small cap Russell 2000 declined 0.98%.

Value was the lone factor where all spreads were not directionally similar. Only one spread was outside normal expectations.

Volatility was positive in each index. The most volatile stocks outperformed the least volatile, on average, across the capitalization spectrum. Volatility was strongest in the Russell 2000 where the spread was +2.01%.

Value was mixed between the indices. Value was mildly positive in the large and mid cap universes. The most attractively valued stocks underperformed the least attractive in the small cap space. The negative Value spread in the Russell 2000 was -1.39%.

Size was positive, particularly within the Russell 2000. The largest companies in the small cap index outperformed the smallest by 2.10%, on average. The small cap Size spread was one standard deviation above average.

Both measures of Momentum were positive with opposing spread profiles across capitalization ranges. Stocks that had outperformed the most over the previous six months and four-week periods continued to outperform last week. Medium-term momentum (MTM) was strongest in the Russell 1000 and least influential in the Russell 2000. Short-term momentum (STM) was strongest in the Russell 2000 and least influential in the Russell 1000.

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.