Weekly Factor Returns

A look at what factors influenced the market last week

Equities were mixed last week. Large and small cap stocks declined while mid caps were slightly positive. The Russell 2000 declined 1.15%, the Russell 1000 declined 0.39%, and the Russell MidCap rose 0.24%.

Factor returns were also dissimilar across the capitalization spectrum. Small cap spreads were strongest in four of the five key factors.

Medium-term momentum (MTM) was negative among large and mid cap stocks. MTM was very positive in the small cap space. MTM declined by over 1.00% in the Russell 1000 and Russell MidCap. MTM rose by 3.04% in the Russell 2000. Stocks that had outperformed the most over the previous six months continued to outperform last week. The small cap MTM spread was greater than one standard deviation above average.

Short-term momentum (STM) was the lone factor with congruent returns in each index. STM reversed last week. Stocks that outperformed the most over the previous four weeks declined last week. STM declined by over 1.00% in each index.

Size was a positive influence in the large and mid cap indices. The largest ten percent of stocks outperformed the smallest ten percent by 1.63%, on average, in the Russell 1000. The opposite was true in the small cap index. The largest companies underperformed the smallest by 1.80% in the Russell 2000.

Value was not a major influence within the large and mid cap universes. Value was strongly out of favor in the Russell 2000. The most attractively valued stocks underperformed the least attractively valued by 2.35%, on average. The small cap Value spread was greater than one standard deviation below average.

Volatility was strongest in the Russell 2000. The most volatile stocks outperformed the least volatile by 0.92%. Volatility was less positive in the Russell MidCap (+0.38%). Volatility was slightly negative 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.