Weekly Factor Returns

A look at what factors influenced the market last week


Large cap stocks had a strong week with a 1.14% gain, outpacing small caps, which were up only 0.27%. Capitalization and Medium-term momentum were the key drivers in the Russell 1000.


The largest quintile of companies within the Russell 1000 outperformed the smallest 20% by 3%. Size was not a material factor within the Russell 2000. Growth outperformed in each index. Value’s 3.35% decline among large caps was the greatest factor move last week. Short-term momentum was mixed, with the factor returning 1.01% in the Russell 2000 but declining 1.56% in the Russell 1000.


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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