Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 declined 1.86% and the Russell 2000 declined 1.68%. A key driver was the continued reversal of Medium-term momentum. Among small caps, lower volatility stocks stood out.
Size was the only factor with divergent returns between the indices. Smaller stocks tended to outperform within the Russell 1000 while larger stocks marginally beat out smaller issues in the Russell 2000.
Value was positive, particularly among small caps. Volatility declined 3.07% in the Russell 2000. The decline in Volatility equates to a one-standard deviation move.
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.