Weekly Factor Returns

A look at what factors influenced the market last week


In what was a very choppy week of daily market returns and intraday swings, broad large and small cap equity index returns were not extreme. The Russell 1000 finished 0.67% higher and the Russell 2000 ended 0.97% lower. Factor returns were directionally similar to last week.


Value in the large cap space had the greatest return. The top-ranked value stocks

outperformed the lowest-ranked by 3.41%. Value was also positive among small caps, but to a lesser degree.


Volatility declined for the fifth straight week, meaning stocks exhibiting lower volatility tended to outperform those with higher volatility.


Medium-term and Short-term momentum returns, along with Size, had positive weeks.


Overall, outperforming stocks tended to be larger, less volatile, more value oriented, and exhibited both near and medium-term momentum characteristics.


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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