Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets declined last week. The large cap Russell 1000 lost 0.35%, the small cap Russell 2000 lost 0.32%, and the Russell MidCap lost 0.45%.

Only two factors had directionally similar returns across the capitalization spectrum. All spreads were within normal ranges.

Size was the most influential factor last week. The Size factor was negative as smaller companies tended to outperform within each index. The largest ten percent of companies within the Russell MidCap underperformed the smallest ten percent by 1.80%, on average. Size was -1.44% in the Russell 1000 where the factor has a greater influence on the overall index compared to the less capitalized indices.

Short-term momentum (STM) also declined within each index. Stocks that had outperformed the most over the past four weeks tended to underperform last week. STM was less than -1.00% in the small and mid cap universes.

Medium-term momentum (MTM) was less influential than STM in each index. MTM was slightly positive in the mid cap space. Stocks that had outperformed the most over the previous six months tended to underperform last week in the large and small indices.

Value was positive among large caps. The most attractively valued stocks in the Russell 1000 outperformed the least attractively valued by 0.36%. Lower ranked Value stocks outperformed higher ranked Value stocks in the Russell MidCap and Russell 2000.

Volatility was negative in the Russell 2000 and positive in the large and mid cap indices.

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.