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Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were mildly positive for the last week of 2021. Factor returns were more substantial.

Although the Russell 2000 gained only 0.21% compared to the Russell 1000’s 0.77% during the week, each factor’s return was greater among small caps relative to large caps.

Momentum – both medium- and short-term – within the Russell 2000 more than doubled the returns within the Russell 1000.

The highest Value and least Volatile stocks tended to outperform those with the opposite characteristics. Size experienced the smallest returns in each index yet was still above 1.0%.

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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