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Weekly Factor Returns

A look at what influenced the market last week

Both large cap and small cap indices rose last week with the Russell 1000 (+2.01%) outpacing the Russell 2000 (+1.47%). Three of our five factors were directionally similar between the large and small universes.

Short-term momentum declined for the second straight week. The reversal of recent winners was more pronounced among small caps. Value also declined in both indices with small caps declining further. Taken together, these factor returns indicate Value’s underperformance last week relative to Growth was a change compared to the prior four weeks.

Volatility was positive in large and small caps but not extreme. Medium-term momentum and Size were both mixed in terms of positive and negative returns.

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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