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Weekly Factor Returns

Updated: Jan 18, 2022

A look at what factors influenced the market last week

Large and small cap index returns were slightly negative. The Russell 1000 declined 0.38% and the Russell 2000 declined 0.79%.

Short-term momentum, Value, and Volatility were the dominant factors last week. Within the large cap space, Short-term momentum returns were just short of 5.0%. The top-ranked Value stocks beat the lowest-ranked by 3.8%. Volatility declined 2.4%, meaning stocks with lower Volatility did better, on average.

Factor returns were similar in the small cap space, but to a lesser extent for Short-term momentum and Value. Volatility declined by 2.6%.

Medium-term momentum had diverging returns but were not material within either index. Size was positive for both large and small cap universes but also not influential.

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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