Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 2000 lost 1.00% while the Russell 1000 declined 0.24%. The small cap index experienced the largest factor moves.
Within the Russell 2000, Value (+2.28%), Volatility (-1.74%), and Size (-1.72%) experienced the largest moves. Outperformers tended to be smaller, less volatile and have attractive sector relative valuations.
In the large cap space, Value and Volatility had similar, but smaller, returns. Returns to Size were directionally different as the largest capitalized companies outperformed the smallest by 0.62%.
Short-term momentum returned just over 0.50% in both indices. Medium-term momentum was mixed.
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.