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Weekly Factor Returns

A look at what factors influenced the market last week

Despite a few volatile trading days, the large and small cap indices each finished the week up only about 0.5%. Factor returns were mostly dissimilar.

Short-term momentum (STM) was the most congruent factor as recent winners continued their outperformance against recent losers. The factor returned 1.45% among Russell 1000 stocks and 1.38% among Russell 2000 stocks. Within the large cap space, the other four factors were less influential. Volatility had the second largest move with a 0.47% decline.

In addition to STM, Volatility and Value each had big moves within the Russell 2000. Overall, stocks that outperformed within the small cap space exhibited higher value characteristics and lower volatility.

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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