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Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap stock indices declined last week. The Russell 1000 dropped 2.16% while the Russell 2000 dropped 2.91%.

Value and Short-term momentum were the biggest winners. The top-ranked Value stocks beat the lowest-ranked by 5.65% among large caps and 3.29% among small caps.

Lower Volatility stocks also fared well, particularly in the Russell 2000. Stocks that had outperformed over the previous six months – higher on Medium-term momentum – reversed last week and declined 4.92% within large caps and 3.01% within 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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