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Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap stock indices declined. Small cap stocks declined 3.82%, more than double the large cap drop.

Volatility and Value had the greatest returns. Size was less influential, and only among large caps.

Value returns were nearly identical: +4.44% in the Russell 1000 and +4.45% in the Russell 2000. Volatility declined 5.84% in the Russell 1000 and declined 6.48% in the Russell 2000, indicating lower volatility stocks outperformed. Medium- and Short-term momentum returns were mixed in the large cap space and flat-to-positive among small caps.

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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