Weekly Factor Returns

A look at what factors influenced the market last week


The small cap Russell 2000 led with a 4.59% gain. The Russell 1000 gained 1.62%. Factor returns between the indices mostly differed, except for Short-term momentum, which declined over 2.5% in each.


Small cap stocks ranked highest on Volatility outperformed the least volatile by 2.5%. Volatility was less impactful in the Russell 1000.


The top quintile of Value underperformed the bottom quintile among small caps. In large caps, the opposite was true with Value.


Smaller companies tended to outperform, on average, relative to higher capitalized companies within the Russell 1000. Size was marginally positive in the Russell 2000.


Medium-term momentum returns were divergent across the large and small indices.


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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