Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap indices declined while mid caps were flat. The large cap Russell 1000 fell 0.99% and the small cap Russell 2000 fell 1.04%. The Russell MidCap was essentially unchanged (+0.02%).

Factor spreads were largest among small caps for four of the five factors. Two small cap factor returns exceeded normal expectations.

Both measures of momentum were positive last week. Stocks that had risen the most over the past six months continued to outperform last week. The spread between the average return of the top and bottom percentiles of Medium-term momentum (MTM) was +3.74% in the small cap universe. Short-term momentum (STM) also rose last week. The biggest winners of the previous four weeks continued to outperform the biggest losers. The small cap STM spread was +2.25%. Both small cap momentum spreads were greater than one standard deviation above their averages.

Size was a contributing factor in the mid and small cap indices. Size was negligible in the Russell 1000 where larger companies have a disproportionate influence on the overall index. The largest ten percent of companies in the Russell 2000 outperformed the smallest ten percent by 1.52%, on average. The mid cap Size spread was +1.21%.

Value stocks were favored across the capitalization range. Value was a larger influence in the small cap space. The most attractively valued stocks outperformed the least attractively valued by 1.39% in the Russell 2000.

Volatility was mixed. Lower Volatility stocks tended to outperform in the large and mid cap indices. Higher Volatility stocks fared better in the small cap index. The small cap Volatility spread was +1.13% and the mid cap Volatility spread was -1.30%.

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.