Weekly Factor Returns

A look at what influenced the market last week

The Russell 2000 and Russell 1000 indices had divergent results last week. Small caps declined 2.9% and large caps gained 1.3%. Most of our five major factors had similar directional returns within each cap range, except for short-term momentum. In the small cap universe, the most recent winners continued to outperform the most recent losers by a spread of 2.5%. The large cap universe experienced a minor short-term momentum reversal. Volatility was the biggest mover in each index. The factor declined 7.5% within the Russell 2000 and 6.0% in the Russell 1000. Medium-term momentum fell 4.3% and 5.4% in the small and large indices, respectively.

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.