Weekly Factor Returns

A look at what factors influenced the market last week

Stock indices were positive last week. It was the second straight week of gains, with each index rising more than 2%. The small cap Russell 2000 led with a 3.99% increase. The large cap Russell 1000 gained 3.40% and the Russell MidCap rose 2.34%.

Factor spreads were directionally similar across each index. Several returns exceeded normal ranges.

Medium-term momentum (MTM) was a driving factor. Stocks that had outperformed the most over the previous six months continued to outperform last week. MTM was highest in the mid cap (+4.08%) and large cap (+3.48%) universes. Each spread was greater than one standard deviation above its average.

Short-term momentum (STM) experienced a reversal. Stocks that had outperformed the most over the past four weeks tended to underperform last week. STM was the most negative in the Russell 2000 (-2.83%). The small cap STM spread was greater than one standard deviation below average.

Value was a positive influence. The most attractively valued stocks outperformed the least attractively valued, on average. Value had the biggest spread in the mid cap space (+2.94%). The mid cap Value spread was greater than one standard deviation above average.

Volatility also had positive returns. The most volatile stocks tended to outperform the least volatile. Volatility was greatest in the Russell 1000 (+1.50%).

Size was less influential compared to the other factors. There was a minor small capitalization bias in the Russell 1000 and Russell MidCap indices last week. Size was negligible in the Russell 2000.

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.