Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 and Russell 2000 indices had negative returns last week, due in large part to Friday’s declines.
Value and Volatility experienced the largest returns, with large cap value (+3.08%) producing the largest factor move. Stocks ranked lowest on Volatility outperformed the highest ranked in both indices.
Returns to Short-term momentum were negative, but not extreme. Medium-term momentum and Size were less influential to overall market returns.
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.