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Weekly Factor Returns

A look at what influenced the market last week

The Russell 2000 Index declined over 2.5% for the week ending March 19th. Among the five broad factors we track, all but one were negative. The return spread between the highest ranked and lowest ranked stocks on our Value factor was only .07%. Short-term momentum declined over 1%. There was more disparity in the large cap universe. The Russell 1000 declined by 0.83%. Volatility declined by 2.8% and Value returned 1.9%. Medium-term momentum was the third largest mover. It declined 1.6%.

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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