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Weekly Factor Returns

A look at what factors influenced the market last week

Large and small stocks increased last week. The Russell 1000 gained 1.69% and the Russell 2000 gained 1.14%. Larger companies, along with those that have higher Medium-term momentum tended to outperform.

Volatility’s factor spread was generally flat across both indices, thus was an immaterial driver of market returns. Companies that outperformed over the prior six months continued to do so against the worst performers, on average. Short-term momentum returns were mixed within the capitalization universes. Recent winners declined among large caps but gained among small caps.

Size was another influential factor, particularly in the Russell 2000. The return spread between the largest and smallest companies in the small cap index was the largest return last week.

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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