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Weekly Factor Returns

A look at what factors influenced the market last week

The large cap Russell 1000 gained 0.78% and the small cap Russell 2000 declined 0.37%. While index returns were mixed, factor returns were directionally similar.

Medium- and Short-term momentum, along with Size and Value, produced positive returns. Volatility declined, meaning lower volatility companies outperformed higher ones, on average. Factor returns were stronger among the small caps, relative to large, for both Momentum periods and Value. The Value return spread in the Russell 2000 was the largest factor move of all.

Size was more of a driver in the large cap space, compared to small caps, and higher Volatility stocks declined further in the Russell 1000 than in the Russell 2000.

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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