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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 declined during the shortened trading week. Small stocks dropped more than large as the small cap index returned -2.80%. Factor returns were not extreme.

Medium-term momentum, Size, and Volatility were directionally congruent across large and small caps, while Short-term momentum and Value had opposing returns.

Within the Russell 1000, stocks that tended to outperform were ranked higher on Medium-term momentum and Size, and ranked lower on Short-term momentum, Value, and Volatility. Within the Russell 2000, top performers ranked higher on each factor except Volatility. The largest factor move was Value’s 1.54% decline among large cap stocks.

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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