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Weekly Factor Returns

A look at what factors influenced the market last week

The large cap Russell 1000 declined 2.22%. Small cap stocks held up better as the Russell 2000 declined 0.24%. Factor returns were directionally similar across the two indices.

Medium-term momentum experienced the greatest magnitude difference between the indices. Value was the only positive factor among large and small cap stocks and the return within the Russell 2000 was the largest return among each factor.

Overall, socks that outperformed last week tended to have lower momentum, smaller capitalization, attractive value characteristics, and exhibit 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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