Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 2000 fell 2.83% while the Russell 1000 ended the week flat.


Factor returns were congruent between the large and small indices. Volatility within the Russell 2000 registered the greatest absolute return. The spread between the top and bottom ranked deciles was -5.27%. This means stocks with lower volatility outperformed those with higher volatility.


The other four factors had positive returns. Outperformers tended to be larger, exhibit greater Momentum (medium- and short-term), and have more attractive Value characteristics.


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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