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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 returned 2.36% and the Russell 2000 gained 3.12% in the holiday shortened week.

Short-term momentum declines, particularly among large caps, were an influential driver. Volatility was up over 1.5% in each index.

Value had mixed returns. It had a large negative return in the Russell 1000 and was mildly positive in the Russell 2000.

Medium-term momentum was positive, more so in the small cap space. Size was negative as smaller companies tended to outperform, on average.

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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