Weekly Factor Returns

A look at what factors influenced the market last week

Equities declined last week, led by the small cap Russell 2000, which lost 2.38%. The Russell MidCap fell 1.74% and the large cap Russell 1000 declined 0.86%.

Factor returns were directionally similar across the capitalization range with only one spread exceeding normal expectations.

Medium-term momentum (MTM) produced positive returns, particularly among small caps. Stocks that outperformed the most over the prior six months continued to outperform last week. The small cap MTM spread was +2.74% and just at one standard deviation above average.

Short-term momentum (STM) reversed, with the strongest move in the Russell 2000. Stocks that outperformed the most over the prior four weeks underperformed last week. The small cap STM spread was -1.19%.

Size contributed positively as the largest stocks tended to outperform the smallest stocks within each capitalization range. Within the Russell 1000, the largest ten percent of companies outperformed the smallest ten percent by 2.29%, on average. The large cap Size spread was greater than one standard deviation above average.

Value stocks held up better as the broader indices declined. The most attractively valued stocks outperformed the least attractive by 1.67% in the mid cap index. The small cap Value spread was +1.49% while the large cap spread was +1.19%.

Volatility was lower. The most volatile stocks underperformed the least volatile. All three spreads exceeded -1.0% as investors sought refuge in less risky securities.

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.